Fat Tail Analysis and Package FatTailsR

Conference object English OPEN
Kiener , Patrice;
(2015)
  • Publisher: HAL CCSD
  • Subject: Distributions | fat tails | skewed tails | skewness | kurtosis | risk measure | mesure de risque | queues asymétriques | queues épaisses | Lois de probabilité | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST] | [ QFIN.RM ] Quantitative Finance [q-fin]/Risk Management [q-fin.RM] | [ INFO.INFO-MO ] Computer Science [cs]/Modeling and Simulation | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

International audience; We present additionnal results on K1, K2, K3 and K4 distributions described at 8th R/Rmetrics Summer Workshop 2014 ( https://hal.archives-ouvertes.fr/hal-01343711 ), noteworthy the moments, the skewness, the kurtosis and one function to summarize... View more
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