Narrow search
Showing 1 - 3 of 3
Cover Image
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Cover Image
A comparison of some univariate models for value-at-risk and expected shortfall
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 1043-1075
Persistent link: https://www.econbiz.de/10003631000
Cover Image
Time varying sensitivities on a grid architecture
D'Addona, Stefano; Ciprian, Mattia - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 307-329
Persistent link: https://www.econbiz.de/10003441980