Fat tails, VaR and subadditivity
Year of publication: |
2013
|
---|---|
Authors: | Daníelsson, Jón ; Jorgensen, Bjørn N. ; Samorodnitsky, Gennady ; Sarma, Mandira ; Vries, Casper G. de |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 172.2013, 2, p. 283-291
|
Publisher: |
Elsevier |
Subject: | Value-at-Risk | Subadditivity | Fat tailed distribution | Extreme value estimation |
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