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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 15 (2008)
Issue (Month): 3 (December)
Pages: 175-184
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:15:y:2008:i:3:p:175-184

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Related research

Keywords: Historical simulation; Value at risk; Pearson distribution system; Skewness and kurtosis;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, School of Economics and Management, University of Aarhus. [Downloadable!]
2. Peter Verhoeven & Michael McAleer, 2003. "Fat Tails and Asymmetry in Financial Volatility Models," CIRJE F-Series CIRJE-F-211, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
3. Yuichi Nagahara, 2003. "Non-Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(6), pages 721-738, November. [Downloadable!] (restricted)
4. Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus. [Downloadable!]

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This page was last updated on 2009-12-31.