Fat-tailed Distributions, Value at Risk and the Japanese Stock Market Returns
Journal Title: International Journal of Academic Research in Business and Social Sciences - Year 2017, Vol 7, Issue 11
Abstract
The Japanese economy has been the second largest economy over the world for a long time before the Chinese economy emerged. The Tokyo Stock Exchange (TSE) is the fourth largest stock exchange in the world by aggregate market capitalization of its listed companies and largest in East Asia and Asia. It is of great importance for those in charge of managing risk to understand how its market index returns are distributed. The goal of this paper is to examine how various types of heavy-tailed distribution perform in risk management of the N225 Index returns. We compared these heavy-tailed distributions through a variety of criteria. Our results indicate the generalized hyperbolic distribution has the best goodness of fit and generates most suitable risk measures.
Authors and Affiliations
Kengo Kayaba, Yohei Sato, Junji Sawada
Moderating the Service Quality-Customer Loyalty Relation through Customer Satisfaction, Gender and Banking Status: Evidence from Mobile Money Users in University Of Cape Coast, Ghana
The study was conducted to assess the impact of service quality on customer loyalty for mobile money services among university students when the effect of customer satisfaction, gender and banking status are statisticall...
Perceived Self-Efficacy as a Mediator of the Relationship between Presenteeism and Employees’ Burnout
Employees’ well-being is crucial for employers to take care of as the condition of employees could always translate into work performance. Presenteeism has received an increasingly attention from practitioners and resear...
Identifying Business Strategic Opportunities in a Private Airline Using Delta Model
Airline customer service, a vital part in successful organizations, plays an important role in improving company profits. Since there are few studies considering customer service in Iranian airlines, this paper employs D...
Internationalization of SMEs and Organizational Factors in Emerging Economies: High –Tech Industry of Iran
SMEs as an engine of growth play an important role in emerging economies for poverty reduction, the role which has attracted the attention of scholars in recent years. This study explores the effect of firm characteristi...
The Potential for the Pondok Institutions’ Development Funding through the Agricultural Waqf
The agricultural waqf practice was carried out since the era of the Prophet Muhammad SAW. Among the companions of Rasulullah SAW who had performed agricultural waqf were, Saidina Abu Bakar who donated his land in Mecca,...