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Danielsson, Jon ORCID: 0009-0006-9844-7960 and Vries, C. G. de (2000) Value-at-risk and extreme returns. Annales d'economie et de Statistique, 60 (Specia). pp. 236-269. ISSN 0769-489X
Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjørn N., Sarma, Mandira and Vries, C. G. de (2005) Comparing downside risk measures for heavy tailed distribution. Financial Markets Group Discussion Papers (551). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon ORCID: 0009-0006-9844-7960, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady and Vries, C. G. de (2005) Subadditivity re–examined: the case for value-at-risk. Financial Markets Group Discussion Papers (549). Financial Markets Group, The London School of Economics and Political Science, London, UK.