Directional entropy and tail uncertainty, with applications to financial hazard
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697681003685548
Reference24 articles.
1. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
2. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
3. Coherent Measures of Risk
4. How Accurate Are Value-at-Risk Models at Commercial Banks?
5. Shortfall as a risk measure: properties, optimization and applications
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