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VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors

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  • Jules Sadefo Kamdem

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File URL: http://hdl.handle.net/10.1007/s10436-009-0138-6
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 8 (2012)
Issue (Month): 1 (February)
Pages: 123-150

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Handle: RePEc:kap:annfin:v:8:y:2012:i:1:p:123-150

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Capital allocation; Dynamic volatility; Risk management; Price risk in agriculture; Expected Shortfall; G11; G17; G32; C1; C6;

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  1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
  2. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3389-3407, March.
  3. Bormetti, Giacomo & Cisana, Enrica & Montagna, Guido & Nicrosini, Oreste, 2007. "A non-Gaussian approach to risk measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 532-542.
  4. Jules SADEFO KAMDEM, 2004. "Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors," Computing in Economics and Finance 2004 12, Society for Computational Economics.
  5. Ben White & P. J. Dawson, 2005. "Measuring Price Risk on UK Arable Farms," Journal of Agricultural Economics, Wiley Blackwell, vol. 56(2), pages 239-252.
  6. Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
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