Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Wenhao Zhu, Lujun Li, Jingping Yang, Jiehua Xie, Liulei Sun
| Year of publication: |
2023
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|---|---|
| Authors: | Zhu, Wenhao ; Li, Lujun ; Yang, Jingping ; Xie, Jiehua ; Sun, Liulei |
| Subject: | asymptotic diversification ratio | asymptotic subadditivity/superadditivity | copula | marginal region | tail concave order | tail dependence function | Value-at-Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12393 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014370668