Parametric Estimation Approaches
第26张ppt写道“Var for returns that follow a lognormal distribution”
第27张ppt写的是“ If we assure that geometric returns follow a normal distribution, then the natural logarithm of asset prices follows a normal distribution and Pt follows a lognormal distribution.
问题1
想确认下Lognormal VAR 中Pt是指价格还是return?
问题2
geometric returns follow normal distribution 是怎么推论出natural logarithm of asset prices follow normal distribution和 Pt follow lognormal ditribution的。
谢谢
