%0 Journal Article
%@holdercode {isadg {BR SPINPE} ibi 8JMKD3MGPCW/3DT298S}
%@nexthigherunit 8JMKD3MGPCW/3ESGTTP
%@archivingpolicy denypublisher denyfinaldraft24
%@issn 0378-4371
%@resumeid
%@resumeid 8JMKD3MGP5W/3C9JH4A
%@resumeid 8JMKD3MGP5W/3C9JJ5D
%@usergroup administrator
%@usergroup banon
%@usergroup jefferson
%3 0402654.pdf
%B Physica A: Statistical Mechanics and its Applications
%@dissemination WEBSCI; PORTALCAPES; COMPENDEX.
%X 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.
%T Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector
%K COMPUTER SCIENCE, Aerospace sciences, Risk analysis, Statistics, Value-at-Risk, COMPUTAÇÃO APLICADA, Ciência aeroespacial, Análise de risco, Estatística, Valor de risco.
%@secondarytype PRE PI
%@group LAC-INPE-MCT-BR
%@copyholder SID/SCD
%@secondarykey INPE-11802-PRE/7156
%2 sid.inpe.br/marciana/2004/12.10.10.26.06
%@affiliation Instituto Nacional de Pesquisas Espaciais, Laboratório Associado Computação e Matemática Aplicada (INPE.LAC),
%@affiliation Università di Palermo, Dipartimento di Fisica e Tecnologie Relative,
%@project Análise e simulação de sistemas complexos
%@language English
%P 554-561
%4 sid.inpe.br/marciana/2004/12.10.10.26
%D 2004
%V 344
%A Mattedi, Adriana P.,
%A Ramos, Fernando Manuel,
%A Rosa, Reinaldo Roberto,
%A Mantegna, R. N.,
%@area COMP