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20082026
most citedA class of unbiased location invariant Hill-type estimators for heavy tailed distributions

13 citations · 35 across the 22 of their papers we have counts for

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stat.ME2026

Explicit Expressions for Multidimensional Value-at-Risk under Archimedean Copulas

Dotamana Yéo, Saralees Nadarajah, Amadou Sawadogo

This paper studies multivariate Value-at-Risk (VaR) for financial portfolios with a focus on modeling dependence structures through Archimedean copulas. Using the generator represe…