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Asymmetric Power Distribution Theory and Applications to Risk….Image.Marked
Asymmetric Power Distribution: Theory and
Applications to Risk Measurement
Ivana Komunjer∗,†
Caltech
Abstract
Theoretical literature in finance has shown that quantifying the risk of financial time
series amounts to measuring their expected shortfall, also known as tail Value at Risk.
Unfortunately, little empirical work has been devoted to the problem of modeling and
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