Fat tails, VaR and subadditivity

Casper de Vries, J (Jón) Danielsson, BN Jorgensen, G Samarodnitsky, M Sarma

Research output: Contribution to journalArticleAcademicpeer-review

50 Citations (Scopus)
Original languageEnglish
Pages (from-to)283-291
Number of pages9
JournalJournal of Econometrics
Volume172
Issue number2
DOIs
Publication statusPublished - 2013

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