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Fat tails, VaR and subadditivity (2013)

First Author: Daníelsson J

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1016/j.jeconom.2012.08.011

Publication URI: http://dx.doi.org/10.1016/j.jeconom.2012.08.011

Type: Journal Article/Review

Parent Publication: Journal of Econometrics

Issue: 2