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-ve skewness & high kurtosis - underestimates volatiltiy & overestimates return
b) Will a negative skewness distribution report a higher or lower VaR?
eq is -VAR = Rp - Z x Std dev…..Rp is overstimated — so VAR would be lower—-Std dev is underestimated— VAR would be higher |
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发表于 2013-4-20 04:41
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