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- W2387932111 abstract "The paper fits daily and weekly stock index return data in Shanghai Composite Index and Shenzhen Component Index using asymmetric Laplace distribution.It concludes that asymmetric Laplace distribution is better fitted than normal distribution about the characteristics of leptokurtic,heavy tail,skewness.And the daily return is better fitted than weekly return.When we choose the distribution for calculating VaR and CVaR on stock index return,asymmetric Laplace distribution will be a better choice for stock index risk manager." @default.
- W2387932111 created "2016-06-24" @default.
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- W2387932111 date "2012-01-01" @default.
- W2387932111 modified "2023-09-24" @default.
- W2387932111 title "An Empirical Study on Asymmetric Laplace Distribution of Stock Index Returns in China" @default.
- W2387932111 hasPublicationYear "2012" @default.
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