Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
| Year of publication: |
2011
|
|---|---|
| Authors: | Ibragimov, Rustam ; Walden, Johan |
| Published in: |
Annals of Finance. - Springer. - Vol. 7.2011, 3, p. 285-318
|
| Publisher: |
Springer |
| Subject: | Portfolio analysis | Value at risk | Power laws | Heavy-tailedness | Diversification | Dependence | Common shocks | Factor models | Riskiness | Majorization | Random effects | Linear estimators | Efficiency |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009326711