VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430): Difference between revisions

@@ Property / DOI @@
-.1007/s10436-009-0138-6
@@ Property / DOI: 10.1007/s10436-009-0138-6 / rank @@
-Normal rank
@@ Property / cites work @@
+Q4220711
@@ Property / cites work: Q4220711 / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q4515165
@@ Property / cites work: Q4515165 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets
+Normal rank
@@ Property / cites work @@
+Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
+Normal rank
@@ Property / cites work @@
+VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
+Normal rank
@@ Property / cites work @@
+\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
+Normal rank
@@ Property / cites work @@
+An empirical evaluation of fat-tailed distributions in modeling financial time series
+Normal rank
@@ Property / DOI @@
+.1007/S10436-009-0138-6
@@ Property / DOI: 10.1007/S10436-009-0138-6 / rank @@
+Normal rank