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scopus: 7003275884

Samorodnitsky, G.

(Gennady Samorodnitsky)


distribution subadditivity violation return number asset dan íelsson probability portfolio subadditivity violations result index measure tail index α student-t sample subadditive íelsson ibragimov example estimation tail index tail region simulation asset returns journal 0.5 table probability levels / journal quantile var subadditivity violations value level correlation observation stock hs estimation 0.0 tail coarseness problem econometrics proposition region market estimate finance moment application column multivariate threshold sample sizes 0.01 theory coefficient power pareto university factor correlation coefficient ρ class proof property problem tail area pareto distribution proposition 1 dependence industry freedom degree stock pairs paper infinity insurance diversification function walden carlo frequency




1 Most Recent Publications

Fat tails, VaR and subadditivity (Article)
Danielsson, J. Jorgensen, B.N. Samorodnitsky, G. Sarma, M. Vries, C.G. de
2012-09-19