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Measuring value-at-risk and expected shortfall of crude oil...

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Measuring value-at-risk and expected shortfall of crude oil portfolio using extreme value theory and vine copula

Yu, Wenhua, Yang, Kun, Wei, Yu, Lei, Likun
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Language:
english
Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2017.08.064
Date:
September, 2017
File:
PDF, 665 KB
english, 2017
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