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Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
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A comparison of some univariate models for value-at-risk and expected shortfall
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 1043-1075
Persistent link: https://www.econbiz.de/10003631000