It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...

Steven Nickolas is a writer and has 10+ years of experience working as a consultant to retail and institutional investors. Cierra Murry is an expert in banking, credit cards, investing, loans, ...

With the current interest in copula methods, and fat-tailed or other non-normal distributions, it is appropriate to investigate technologies for managing marginal distributions of interest. We explore ...