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1.1 Introduction
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IV. Selected Applications
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IV. Selected Applications
1. Computationally Intensive Value at Risk Calculations
Rafa
Weron
Subsections
1.1 Introduction
1.2 Stable Distributions
1.2.1 Characteristic Function Representation
1.2.2 Computation of Stable Density and Distribution Functions
1.2.3 Simulation of
-stable Variables
1.2.4 Estimation of Parameters
1.2.4.1 Sample Quantile Methods
1.2.4.2 Sample Characteristic Function Methods
1.2.4.3 Maximum Likelihood Method
1.2.5 Are Asset Returns
-stable?
1.2.6 Truncated Stable Distributions
1.3 Hyperbolic Distributions
1.3.1 Simulation of Generalized Hyperbolic Variables
1.3.2 Estimation of Parameters
1.3.2.1 Maximum Likelihood Method
1.3.2.2 Other Methods
1.3.3 Are Asset Returns NIG Distributed?
1.4 Value at Risk, Portfolios and Heavy Tails
Weron
-stable Variables