Efficient risk simulations for linear asset portfolios in the t-copula model

R: A Language and Environment for Statistical Computing

R Core Team · 2000 · 353K citations · Full text

Natural Sciences, Computer Science, Statistical Computing +10

A Limited Memory Algorithm for Bound Constrained Optimization

Richard H. Byrd, Peihuang Lu, Jorge Nocedal et al. · SIAM Journal on Scientific Computing · 1995 · 6.2K citations

Natural Sciences, Computer Science, Mathematics +16

The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures

Karsten Prause · FreiDok plus (Universitätsbibliothek Freiburg) · 1999 · 386 citations · Full text

Business, Finance, Risk Management +16

The Generalized Hyperbolic Skew Student's t-Distribution

Journal of Financial Econometrics · 2006 · 351 citations

Business, Economics, Finance +10

Selecting copulas for risk management

Erik Kole, Kees Koedijk, Marno Verbeek · Journal of Banking & Finance · 2007 · 289 citations

Business, Risk Management, Financial Risk Management +6