Improved estimation of portfolio value-at-risk under copula models with mixed marginals
| Year of publication: |
2006
|
|---|---|
| Authors: | Miller, Douglas J. ; Liu, Wei-Han |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Vol. 26.2006, 10, p. 997-1018
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