Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns (Q3620508)
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scientific article; zbMATH DE number 5543049
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| English | Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns |
scientific article; zbMATH DE number 5543049 |
Statements
14 April 2009
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average value-at-risk
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risk measures
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heavy-tails
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asymptotic distribution
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Monte Carlo
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0.8625167012214661
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0.7788757681846619
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0.7637500166893005
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0.7584328651428223
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0.7536237835884094
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