Modelization and Calibration of the Power-Law Distribution in Stock Market by Maximization of Varma Entropy
Proper description of the return distribution is crucial for investment practitioners. The underestimation of the tail risk may lead to severe consequences, even for assets with moderate fluctuations. However, many empirical studies found that the distribution tails of many financial assets drop off...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2023-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2023/8880544 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|