文章基本信息
- 标题：A novel multivariate risk measure: the Kendall VaR.
- 本地全文：下载
- 作者：Matthieu Garcin ; Dominique Guegan ; Bertrand Hassani. 等
- 期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
- 印刷版ISSN：1955-611X
- 出版年度：2018
- 出版社：Centre d'Economie de la Sorbonne
- 摘要：sequential equilibrium, temporary equilibrium, perfect foresight, exis-tence, rational expectations, .nancial markets, asymmetric information, arbitrage.
- 关键词：Value at Risk; multivariate quantile; risk measure; Kendall function; copula; total;order
