Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal … three maximum domains of attraction. We show that Value-at-Risk (V@R) under extreme-value copulas is asymptotically …