Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution

A. Andreev, A. Kanto

Research output: Contribution to journal › Article › Scientific › peer-review

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@article{f619265c3165437a962785a33598d7df,

title = "Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution",

author = "A. Andreev and A. Kanto",

year = "2005",

language = "English",

volume = "7",

pages = "55--62",

journal = "JOURNAL OF RISK",

issn = "1465-1211",

publisher = "Incisive Media Ltd.",

number = "2",

}