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A stable CAPM in the presence of heavy-tailed distributions
Huschens, Stefan; Kim, Jeong-Ryeol - In: Measuring risk in complex stochastic systems, (pp. 175-188). 2000
Persistent link: https://www.econbiz.de/10001579732
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Backtesting beyond VaR
Härdle, Wolfgang; Stahl, Gerhard - In: Measuring risk in complex stochastic systems, (pp. 119-130). 2000
Persistent link: https://www.econbiz.de/10001579728