Complex Systems in Finance and Econometrics

2011 Edition
| Editors: Robert A. Meyers (Editor-in-Chief)

Financial Economics, Fat-Tailed Distributions

  • Markus Haas
  • Christian Pigorsch
Reference work entry
DOI: https://doi.org/10.1007/978-1-4419-7701-4_18

Article Outline

Glossary

Definition of the Subject

Introduction

Defining Fat-Tailedness

Empirical Evidence About the Tails

Some Specific Distributions

Volatility Clustering and Fat Tails

Application to Value-at-Risk

Future Directions

Bibliography

Keywords

Asset Return GARCH Model Moment Generate Function Tail Index Tail Behavior 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  • Markus Haas
    • 1
  • Christian Pigorsch
    • 2
  1. 1.Department of StatisticsUniversity of MunichMunichGermany
  2. 2.Department of EconomicsUniversity of BonnBonnGermany