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Adapting extreme value statistics to financial time series : dealing with bias and serial dependence
Haan, Laurens de; Mercadier, Cécile; Chen Zhou - In: Finance and stochastics 20 (2016) 2, pp. 321-354
Persistent link: https://www.econbiz.de/10011471063
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Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10009730805
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Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10010091559