Work

Computing VAR and AVaR in Infinitely Divisible Distributions

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1400965

Authors: Young Shin Kim, Svetlozar Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi

Institutions: Texas Tech University, Bank of Italy, Johns Hopkins University, Ecole des Hautes Etudes Commerciales du Nord

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1562804114

Cites: 23

Cited by: 68

Related to: 10