Heavy tails and copulas: limits of diversification revisited
From MaRDI portal
Publication:1668647
DOI10.1016/j.econlet.2016.10.024zbMath1490.62319OpenAlexW1464912361MaRDI QIDQ1668647
Publication date: 29 August 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/66639
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
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