On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
From MaRDI portal
Publication:5088093
DOI10.1080/03610918.2018.1510526OpenAlexW2900456716WikidataQ128906700 ScholiaQ128906700MaRDI QIDQ5088093
No author found.
Publication date: 4 July 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1510526
asymptoticstail conditional expectationpower-lawportfolio lossbivariate Eyraud-Farlie-Gumbel-Morgenstern copula
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Unnamed Item
- The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
- A characterization of joint distribution of two-valued random variables and its applications
- Coherent Measures of Risk
- Adjusted empirical likelihood for value at risk and expected shortfall
- Proper Conditioning for Coherent VaR in Portfolio Management
- Institutional Investors and Stock Market Volatility
This page was built for publication: On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
