MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION
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Publication:2909514
DOI10.1142/S021902491250029XzbMath1246.91156arXiv1005.2862OpenAlexW3122992011MaRDI QIDQ2909514
Carlo Marinelli, Stefano d'Addona, Svetlozar T. Rachev
Publication date: 30 August 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.2862
value-at-risktail dependencebacktestingmultidimensional stable-like distributionmultidimensional t-like distributiontail thickness
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