"On the asymptotics of value-at-risk for portfolio loss under bivariate ..."

Guo-Dong Xing et al. (2020)

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DOI: 10.1080/03610918.2018.1520873

access: closed

type: Journal Article

metadata version: 2020-11-16

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  - https://dblp.org/rec/journals/cssc/XingGLY20
Guo-Dong Xing, Xiaoli Gan, Xiaohu Li, Shanchao Yang:
On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Commun. Stat. Simul. Comput. 49(9): 2462-2471 (2020)

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