Practical implications: Using the GEV and Normal distributions for risk assessment could lead to an underestimation of the likelihood of extreme share price declines
ثبت نشده
چکیده
منابع مشابه
Rice Yield Distribution and Risk Assessment in South Asian Countries: A Statistical Investigation
In the last decades, rice yields in South Asian countries grew tremendously in one hand and a noticeable yield fluctuation on the other. The objective of this study was to examine the rice yield distributions, estimate yield risks at country level, and compare risks between five countries namely Afghanistan, Bangladesh, Nepal, Sri Lanka, and Pakistan. Anderson Darling (AD) test was applied to t...
متن کاملValue at Risk Estimation using the Kappa Distribution with Application to Insurance Data
The heavy tailed distributions have mostly been used for modeling the financial data. The kappa distribution has higher peak and heavier tail than the normal distribution. In this paper, we consider the estimation of the three unknown parameters of a Kappa distribution for evaluating the value at risk measure. The value at risk (VaR) as a quantile of a distribution is one of the import...
متن کاملModeling Gold Volatility: Realized GARCH Approach
F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...
متن کاملFrequency Analysis of Maximum Daily Rainfall in various Climates of Iran
In this research in order to frequency analysis of maximum daily rainfall in various climates of Iran the data of 40 synoptic rain gauges collected in 40 years period i.e., 1973 to 2012 were used. These stations are located in various climates of Iran according to De Martonne climatic classification. At first, input of data to HYFA package was performed. The mentioned package includes seven...
متن کاملA practical approach to open-pit mine planning under price uncertainty using information gap decision theory
In the context of open-pit mine planning, uncertainties including commodity price would significantly affect the technical and financial aspects of mining projects. A mine planning that takes place regardless of the uncertainty in price just develops an optimized plan at the starting time of the mining operation. Given the price change over the life of mine, which is quite certain, optimality o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2009