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"A new algorithm based on copulas for VaR valuation with empirical ..."

Gang Cheng, Ping Li, Peng Shi (2007)

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DOI: 10.1016/J.TCS.2007.02.038

access: open

type: Journal Article

metadata version: 2023-10-11

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Gang Cheng, Ping Li, Peng Shi:
A new algorithm based on copulas for VaR valuation with empirical calculations. Theor. Comput. Sci. 378(2): 190-197 (2007)

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