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NTS Sample-path Simulation
Generate fat tailed sample path for simulating log-price of a financial asset.
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NTS Fit
Fit the fat tailed model to the daily log return of a financial asset.
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Risk Assessment
Measure daily risks ( VaR and CVaR(or Expected Shortfall) ) of a financial asset using volatility clustering model with fat tailed innovation.
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Risk Time series
Show time series of the VaR / CVaR (Expected aShortfall) and the tail risk index.
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