A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 3 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Historical simulation; Value at risk; Pearson distribution system; Skewness and kurtosis;
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- Yuichi Nagahara, 2003. "Non-Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
- 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.
- Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 35(3), pages 438-465.
- Michael Sørensen, 2008. "Parametric inference for discretely sampled stochastic differential equations," CREATES Research Papers 2008-18, School of Economics and Management, University of Aarhus.
- Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer, vol. 18(4), pages 429-443, November.
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