VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Jules SADEFO KAMDEM ()
Annals of Finance, 2012, vol. 8, issue 1, pages 123-150
Keywords: Capital allocation; Dynamic volatility; Risk management; Price risk in agriculture; Expected Shortfall; G11; G17; G32; C1; C6 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:1:p:123-150
Access Statistics for this article
Annals of Finance is edited by C.D. Aliprantis
More articles in Annals of Finance from Springer
Series data maintained by Guenther Eichhorn ().