Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.
The comprehensive aerospace index (CASI): Tracking the economic performance of the aerospace industry
In this paper, we described the Comprehensive Aerospace Index (CASI), a financial index aimed at representing the economic performance of the aerospace industry. CASI is build upon a data set of approximately 20 years of daily close prices set, from January 1987 to June 2007, from a comprehensive sample of leading aerospace-related companies with stocks negotiated on the New York Exchange (NYSE) and on the over-the-counter (OTC) markets. We also introduced the sub-indices CASI-AERO, for aeronautical segment, and CASI-SAT for satellite segment. and considered the relation between them. These three indices are compared to others aerospace indices and to more traditional general financial indi…