On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
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Cites work
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A characterization of joint distribution of two-valued random variables and its applications
- Adjusted empirical likelihood for value at risk and expected shortfall
- Coherent measures of risk
- Institutional Investors and Stock Market Volatility
- Proper Conditioning for Coherent VaR in Portfolio Management
- Stable Paretian models in finance
- The size distribution of innovations revisited: an application of extreme value statistics to citation and value measures of patent significance
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