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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Insurance: Mathematics and Economics, 2017Jun Cai, Tiantian Mao
exaly
Tail Risk of Multivariate Regular Variation
Methodology and Computing in Applied Probability, 2010Harry Joe, Haijun Li, Joe Harry
exaly
Time-varying tails and the tail risk premium
Economic ModellingXiaorui Gu +3 more
openaire +1 more source
Currency tail risk measurement and spillovers: An improved TENET approach
Finance Research LettersShi He, Huijuan Yu, Zihao Luo
exaly
Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness
Management Science, 2017exaly