VaR and CVaR computing based on stable distributions. (Chinese. English summary) Zbl 1145.65302
MSC:
65C60 | Computational problems in statistics (MSC2010) |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
65C60 | Computational problems in statistics (MSC2010) |
62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |