A COPULA APPROACH TO VALUE-AT-RISK ESTIMATION FOR FIXED-INCOME PORTFOLIOS
Year of publication: |
2007
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Authors: | Martellini, Lionel ; Meyfredi, Jean-Christophe |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 17.2007, 1, p. 5-15
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