Value-at-risk with heavy-tailed risk factors
نویسندگان
چکیده
Cheng-Der Fuh Graduate Institute of Statistics, National Central University, Jhong-Li and Institute of Statistical Science, Academia Sinica, Taipei, [email protected] Inchi Hu Department of ISOM, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, [email protected] Ya-Hui Hsu Abbott Laboratories, USA, [email protected] Ren-Her Wang Department of Banking and Finance, Tamkang University, Taipei, [email protected]
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عنوان ژورنال:
- Operations Research
دوره 59 شماره
صفحات -
تاریخ انتشار 2000