Comparing downside risk measures for heavy tailed distributions
نویسندگان
چکیده
منابع مشابه
Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2006
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2006.02.004