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Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks. (2011). .
In: Annals of Finance.
RePEc:kap:annfin:v:7:y:2011:i:3:p:285-318.

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  1. Heavy tails and copulas: Limits of diversification revisited. (2016). Prokhorov, Artem ; Ibragimov, Rustam.
    In: Economics Letters.
    RePEc:eee:ecolet:v:149:y:2016:i:c:p:102-107.

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  2. Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?. (2014). Grabchak, Michael.
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:4:p:553-568.

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  3. International diversification: An extreme value approach. (2012). de la Pea, Victor ; Chollete, Lorn ; Lu, Ching-Chih.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

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