Citation
Yap, Voon Choong (2004) Development of Value at Risk(VaR) models with applications to Malaysian capital market. PhD thesis, Multimedia University. Full text not available from this repository.
Official URL: http://library.mmu.edu.my/diglib/onlinedb/dig_lib....
Abstract
A simple transformation is used to transform the normally distributed random variable E to a random variable R such that the distribution of R has fatter tails and thinner waist than the normal distribution. The fat-tail distribution is shown to give a good fit to the data on return of single stock in the Kuala Lumpur Stock Exchange(KLSE).
| Item Type: | Thesis (PhD) |
|---|---|
| Subjects: | L Education > LB Theory and practice of education > LB2300 Higher Education |
| Divisions: | Faculty of Computing and Informatics (FCI) |
| Depositing User: | Mr Shaharom Nizam Mohamed |
| Date Deposited: | 04 Dec 2009 07:40 |
| Last Modified: | 09 Dec 2014 07:26 |
| URII: | http://shdl.mmu.edu.my/id/eprint/87 |
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