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Aerospace sector 1 Econophysics 1 Tsallis statistics 1 Value-at-risk 1
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M. Ramos, Fernando 1 Mantegna, Rosario N. 1 P. Mattedi, Adriana 1 Rosa, Reinaldo R. 1
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Physica A: Statistical Mechanics and its Applications 1
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RePEc 1
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Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector
P. Mattedi, Adriana; M. Ramos, Fernando; Rosa, Reinaldo R. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 554-561
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...
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