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Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

Author

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  • P. Mattedi, Adriana
  • M. Ramos, Fernando
  • Rosa, Reinaldo R.
  • Mantegna, Rosario N.

Abstract

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard value-at-risk (VaR) financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.

Suggested Citation

  • P. Mattedi, Adriana & M. Ramos, Fernando & Rosa, Reinaldo R. & Mantegna, Rosario N., 2004. "Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(3), pages 554-561.
  • Handle: RePEc:eee:phsmap:v:344:y:2004:i:3:p:554-561
    DOI: 10.1016/j.physa.2004.06.031
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    Cited by:

    1. Viviana Fernandez & Brian M Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," Documentos de Trabajo 219, Centro de Economía Aplicada, Universidad de Chile.
    2. Fernandez, Viviana & Lucey, Brian M., 2007. "Portfolio management under sudden changes in volatility and heterogeneous investment horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 612-624.
    3. Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola, 2008. "Bayesian Analysis of Value-at-Risk with Product Partition Models," Papers 0809.0241, arXiv.org, revised May 2009.
    4. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Is the expression H=1/(3-q) valid for real financial data?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 593-602.

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