Cãtãlin, Drãgoi; Cornelia, Piciu Gabriela; … - In: Ovidius University Annals, Economic Sciences Series XII (2012) 2, pp. 1080-1084
The non-normality of asset return distributions has been a stylized fact in the empirical finance literature. Fat-tailedness, in particular, can have significant impact on the accuracy in computing value at risk (VaR), which became popular from the mid – 1990s as a primary measure of market...