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Risk contagion under regular variation and asymptotic tail independence
v1v2 (latest)

Risk contagion under regular variation and asymptotic tail independence

30 March 2016
Bikramjit Das
Vicky Fasen-Hartmann
ArXiv (abs)PDFHTML

Papers citing "Risk contagion under regular variation and asymptotic tail independence"

2 / 2 papers shown
Title
Inference for heavy-tailed data with Gaussian dependence
Inference for heavy-tailed data with Gaussian dependence
Bikramjit Das
83
1
0
09 May 2023
Estimation of the marginal expected shortfall under asymptotic
  independence
Estimation of the marginal expected shortfall under asymptotic independence
J. Cai
Eni Musta
15
15
0
13 Sep 2017
1