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Geluk, Jaap
Peng, Liang
de Vries, Casper G.
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-088/2
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Document Type: 
Working Paper

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