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"On the asymptotics of value-at-risk for portfolio loss under bivariate ..."
Guo-Dong Xing et al. (2020)
- Guo-Dong Xing, Xiaoli Gan, Xiaohu Li, Shanchao Yang:
On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Commun. Stat. Simul. Comput. 49(9): 2462-2471 (2020)
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