Multivariate heavy-tailed models for Value-at-Risk estimation
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References listed on IDEAS
- Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-29 (All new papers)
- NEP-ETS-2010-05-29 (Econometric Time Series)
- NEP-RMG-2010-05-29 (Risk Management)
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