On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.
Resource URI: https://dblp.l3s.de/d2r/resource/publications/journals/cssc/XingGLY20
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On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.
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On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.
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