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Showing 1 to 2 of 2 for “"Thick tails"”.
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Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating
… aspects of financial data such as the tail thickness, which is vital in VaR calculations. Tail thickness in financial variables results basically from stochastic volatility and event risk (jumps). Those two sources are not totally separated; under event risk, volatility updates faster than …
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Iterative Memoryless Non-linear Estimators of Correlation for Complex-Valued Gaussian Processes that Exhibit Robustness to Impulsive Noise
… following probability density functions with thick tails, which often occurs in practice, can bias this estimator, rendering classical time series analysis methods ineffective. This work examines the robustness of two estimators of correlation based on memoryless nonlinear functions of …