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Fat Tail Analysis and Package FatTailsR
[Analyse des distributions à queues épaisses et package FatTailsR]

Author

Listed:
  • Patrice Kiener

    (InModelia)

Abstract

We present additionnal results on K1, K2, K3 and K4 distributions described at 8th R/Rmetrics Summer Workshop 2014 ( https://hal.archives-ouvertes.fr/hal-01343711 ), noteworthy the moments, the skewness, the kurtosis and one function to summarize the tail risk. The applications present new plots to follow the risk associated to financial assets, especially in the case of rolling windows. The figures suggest new rules in portfolio management and rebalancement procedures.

Suggested Citation

  • Patrice Kiener, 2015. "Fat Tail Analysis and Package FatTailsR [Analyse des distributions à queues épaisses et package FatTailsR]," Post-Print hal-01343713, HAL.
    • Handle: RePEc:hal:journl:hal-01343713
    as

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