Expected shortfall for distributions in finance

Authors
Publication date 2011
Host editors
  • P. Čížek
  • W.K. Härdle
  • R. Weron
Book title Statistical tools for finance and insurance
ISBN
  • 9783642180613
ISBN (electronic)
  • 9783642180620
Edition 2
Pages (from-to) 57-99
Publisher Heidelberg: Springer
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract It has been nearly 50 years since the appearance of the pioneering paper of Mandelbrot (1963) on the non-Gaussianity of financial asset returns, and their highly fat-tailed nature is now one of the most prominent and accepted stylized facts. The recent book by Jondeau et al. (2007) is dedicated to the topic, while other chapters and books discussing the variety of non-Gaussian distributions of use in empirical finance include McDonald (1997), Knight and Satchell (2001), and Paolella (2007).
Document type Chapter
Language English
Published at https://doi.org/10.1007/978-3-642-18062-0_2
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