Living on the multi-dimensional edge: seeking hidden risks using regular variation
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References listed on IDEAS
- Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
- Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-05 (All new papers)
- NEP-ENV-2011-09-05 (Environmental Economics)
- NEP-RMG-2011-09-05 (Risk Management)
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