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Selection of value-at-risk models
Sarma, Mandira; Thomas, Susan; Shah, Ajay - In: Journal of forecasting 22 (2003) 4, pp. 337-358
Persistent link: https://www.econbiz.de/10001775836
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Fat tails, VaR and subadditivity
Daníelsson, Jón; Jorgensen, Bjorn N.; Samorodnitsky, … - In: Journal of econometrics 172 (2013) 2, pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
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Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - 2005
Persistent link: https://www.econbiz.de/10003358411
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Consistent measures of risk
Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - 2006
Persistent link: https://www.econbiz.de/10003358836
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Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón; Jorgensen, Bjorn N.; Sarma, Mandira; … - In: Economics letters 92 (2006) 2, pp. 202-208
Persistent link: https://www.econbiz.de/10003360851