The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study

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Publication:961410

DOI10.1016/J.CSDA.2008.02.002zbMath1453.62086DBLPjournals/csda/Fantazzini09OpenAlexW2057021046WikidataQ56227796 ScholiaQ56227796MaRDI QIDQ961410

Dean Fantazzini

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.002




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