Tail estimation and mean-VaR portfolio selection in markets subject to financial instability
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- J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 1997.
"Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation,"
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- Jun Pan & Darrell Duffie, 2001. "Analytical value-at-risk with jumps and credit risk," Finance and Stochastics, Springer, vol. 5(2), pages 155-180.
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