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We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional-Value-at-Risk …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can … nonparametric and extreme-value-theory-based methods. These results imply that the proposed methodology for tail risk management can …
Persistent link: https://www.econbiz.de/10013008471