Chen, Ying; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
distribution, local exponential estimation, value at risk, expected shortfall
JEL Codes: C14, C16, C32, C61, G20
Acknowledgement … Gaussian
distribution are at odds with empirical facts, i.e. financial series are heavy tailed distributed.
3
The heavy tails … Student-t(6) distribution with degrees of freedom of 6 has
been recommended in practice. However this distribution is found to …