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Keywords: Value-at-risk
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Journal Articles
A capital asset pricing model based on the value at risk under asymmetric Laplace distribution
Available to Purchase
Journal:
Kybernetes
Kybernetes (2023)
Published: 29 August 2023
...Lili Wu; Shulin Xu Purpose Financial asset return series usually exhibit nonnormal characteristics such as high peaks, heavy tails and asymmetry. Traditional risk measures like standard deviation or variance are inadequate for nonnormal distributions. Value at Risk (VaR) is consistent...
