Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series

JL (Jaap) Geluk, L (Liang) Peng, Casper de Vries

Research output: Contribution to journalArticleAcademicpeer-review

14 Citations (Scopus)
Original languageUndefined/Unknown
Pages (from-to)1011-1026
Number of pages16
JournalAdvances in Applied Probability
Volume32
DOIs
Publication statusPublished - 2000

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