Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

Rustam Ibragimov () and Johan Walden ()

Annals of Finance, 2011, vol. 7, issue 3, 285-318

Keywords: Portfolio analysis; Value at risk; Power laws; Heavy-tailedness; Diversification; Dependence; Common shocks; Factor models; Riskiness; Majorization; Random effects; Linear estimators; Efficiency; G11; C13 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10436-010-0166-2

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