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Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices
Liu, Wei-han - In: The journal of futures markets 30 (2010) 9, pp. 897-908
Persistent link: https://www.econbiz.de/10008900925
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Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.; Liu, Wei-han - In: The journal of futures markets 26 (2006) 10, pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974