A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
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DOI: 10.1007/s10690-008-9077-x
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Cited by:
- Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(4), pages 429-443, November.
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Keywords
Historical simulation; Value at risk; Pearson distribution system; Skewness and kurtosis;All these keywords.
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