Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood

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Bibliographic Details
Published in:Communications in statistics. Simulation and computation 2024-01, p.1-17
Main Authors: Castillo-Brais, Brenda, León, Ángel, Mora, Juan
Format: Article
Language:English
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ISSN:0361-0918
1532-4141
DOI:10.1080/03610918.2023.2300372