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Subadditivity Re–Examined: the...
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ECONIS (ZBW)
115
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1
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Samorodnitsky, …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
Saved in:
2
Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Sarma, Mandira
; …
- In:
Economics letters
92
(
2006
)
2
,
pp. 202-208
Persistent link: https://www.econbiz.de/10003360851
Saved in:
3
Incentives for effective risk management
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Vries, Casper G. de
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1407-1425
Persistent link: https://www.econbiz.de/10001688518
Saved in:
4
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Vries, Casper G. de
- In:
Annals of finance
4
(
2008
)
3
,
pp. 345-367
Persistent link: https://www.econbiz.de/10003714674
Saved in:
5
Value-at-risk and extreme returns
Daníelsson, Jón
;
Vries, Casper G. de
- In:
Annales d'économie et de statistique
(
2000
),
pp. 239-270
Persistent link: https://www.econbiz.de/10001543557
Saved in:
6
Theory and relevance of currency substitution with case studies for Canada and the Netherlands Antilles
Vries, Casper G. de
- In:
The review of economics and statistics
70
(
1988
)
3
,
pp. 512-515
Persistent link: https://www.econbiz.de/10001054960
Saved in:
7
Editorial: Latest developments on heavy-tailed distributions
Paolella, Marc S.
;
Renault, Eric
;
Samorodnitsky, Gennady
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 183-185
Persistent link: https://www.econbiz.de/10009706211
Saved in:
8
Ruin probabilities in classical risk models with gamma claims
Constantinescu, Corina
;
Samorodnitsky, Gennady
;
Zhu, Wei
- In:
Scandinavian actuarial journal
(
2018
)
7
,
pp. 555-575
Persistent link: https://www.econbiz.de/10011939710
Saved in:
9
Stochastic volatility in asset prices : estimation with simulated maximum likelihood
Daníelsson, Jón
- In:
Journal of econometrics
64
(
1994
)
1
,
pp. 375-400
Persistent link: https://www.econbiz.de/10001166420
Saved in:
10
Optimal minimum wage in the classic labor supply-and-demand paradigm
Dehejia, Rajeev H.
;
Jorgensen, Bjorn N.
;
Thomadsen, …
- In:
Journal of poverty : innovations on social, political & …
12
(
2008
)
4
,
pp. 481-495
Persistent link: https://www.econbiz.de/10003786071
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