Fat tails, VaR and subadditivity
Year of publication: |
2013
|
---|---|
Authors: | Daníelsson, Jón ; Jorgensen, Bjorn N. ; Samorodnitsky, Gennady ; Sarma, Mandira ; Vries, Casper G. de |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 172.2013, 2, p. 283-291
|
Subject: | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | VAR-Modell | VAR model | Theorie | Theory |
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