Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector

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dc.creatorMattedi, Adriana P.
dc.creatorRamos, Fernando M.
dc.creatorRosa, Reinaldo R.
dc.creatorMantegna, Rosario N.
dc.date2004-02-26
dc.date2004-03-15
dc.date.accessioned2026-07-07T12:06:54Z
dc.date.available2026-07-07T12:06:54Z
dc.descriptionIn this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.
dc.description10 pages, 4 figures, 1 table, to appear in Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/0402654
dc.identifierhttp://arxiv.org/abs/cond-mat/0402654
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208790
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleValue-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
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