Fat tails, VaR and subadditivity

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

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@article{3fe716d5ce0c402589e20da299642f9f,

title = "Fat tails, VaR and subadditivity",

author = "\{de Vries\}, Casper and Danielsson, \{J (J{\'o}n)\} and BN Jorgensen and G Samarodnitsky and M Sarma",

year = "2013",

doi = "10.1016/j.jeconom.2012.08.011",

language = "English",

volume = "172",

pages = "283--291",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "2",

}