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On the closed form solutions for non-extensive Value at Risk

Author

Listed:
  • Stavroyiannis, S.
  • Makris, I.
  • Nikolaidis, V.

Abstract

We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique indicates reasonable agreement with the data under consideration, including all possible extremes and asymmetries of the returns. Numerical results to illustrate the efficiency of the method are presented.

Suggested Citation

  • Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2009. "On the closed form solutions for non-extensive Value at Risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(17), pages 3536-3542.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:17:p:3536-3542
    DOI: 10.1016/j.physa.2009.05.002
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    Cited by:

    1. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    2. Zhao, Pan & Xiao, Qingxian, 2016. "Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics," Chaos, Solitons & Fractals, Elsevier, vol. 82(C), pages 5-10.

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