Dependence structure of risk factors and diversification effects (Q659262): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2010.01.010
+Normal rank
@@ Property / OpenAlex ID @@
+W3125227911
@@ Property / OpenAlex ID: W3125227911 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Tail Behavior of Sums of Dependent Risks
@@ Property / cites work: On the Tail Behavior of Sums of Dependent Risks / rank @@
+Normal rank
@@ Property / cites work @@
+A characterization of multivariate regular variation.
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+A spectral representation for max-stable processes
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4868581
@@ Property / cites work: Q4868581 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
+Normal rank
@@ Property / cites work @@
+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+Portfolio diversification effects and regular variation in financial data
+Normal rank
@@ Property / cites work @@
+Portfolio diversification under local and moderate deviations from power laws
+Normal rank
@@ Property / cites work @@
+Multivariate extremal processes, leader processes and dynamic choice models
+Normal rank
@@ Property / cites work @@
+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
+Normal rank