Expected shortfall for distributions in finance
作者： Simon A. Broda , Marc S. Paolella
DOI: 10.1007/978-3-642-18062-0_2
关键词: Economics 、 Mandelbrot set 、 Financial asset 、 Finance 、 Variety (cybernetics) 、 Knight 、 Financial economics 、 Expected shortfall 、 Stylized fact
摘要: It has been nearly 50 years since the appearance of pioneering paper Mandelbrot (1963) on non-Gaussianity financial asset returns, and their highly fat-tailed nature is now one most prominent accepted stylized facts. The recent book by Jondeau et al. (2007) dedicated to topic, while other chapters books discussing variety non-Gaussian distributions use in empirical finance include McDonald (1997), Knight Satchell (2001), Paolella (2007).
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