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~institution:"CESifo"
~institution:"Université Paris-Dauphine (Paris IX)"
~subject:"Multivariate Model"
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Dependance Structure and Risk Measure
Kharoubi, Cécile
;
Ané, Thierry
-
Université Paris-Dauphine (Paris IX)
-
2003
, we show that a misspecification of the dependence structure introduces, on average, an error in
Value‐at‐Risk
estimates. …
Persistent link: https://www.econbiz.de/10011166406
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