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VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors. (2012). SADEFO, Jules.
In: Annals of Finance.
RePEc:kap:annfin:v:8:y:2012:i:1:p:123-150.

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  1. A robust statistical approach to select adequate error distributions for financial returns. (2017). Hambuckers, J ; Heuchenne, C.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:44:y:2017:i:1:p:137-161.

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  2. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Donghwan ; Dobrev, Dobrislav.
    In: JRFM.
    RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:5-:d:89239.

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  3. Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options. (2008). SADEFO, Jules ; Genz, A. ; Kamdem, Sadefo J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:7:p:3389-3407.

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References

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  5. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Donghwan ; Dobrev, Dobrislav.
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    In: Annals of Finance.
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