# References

Bibliographic entries cited across the theory notes, tutorials, and user guide.
Inline citations use `{ref}`Key <key>``.

(artzner1999)=
**Artzner1999.** Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999).
Coherent measures of risk. *Mathematical Finance*, 9(3), 203–228.

(cappe2009)=
**Cappe2009.** Cappé, O. & Moulines, E. (2009). On-line expectation-maximization
algorithm for latent data models. *Journal of the Royal Statistical Society:
Series B*, 71(3), 593–613.

(dempster1977)=
**Dempster1977.** Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977).
Maximum likelihood from incomplete data via the EM algorithm.
*Journal of the Royal Statistical Society: Series B*, 39(1), 1–38.

(hu2005)=
**Hu2005.** Hu, W. (2005). Calibration of multivariate generalized hyperbolic
distributions using the EM algorithm.

(jorgensen2012)=
**Jorgensen2012.** Jørgensen, B. (2012). *Statistical Properties of the
Generalized Inverse Gaussian Distribution*. Springer.

(mcneil2010)=
**McNeil2010.** McNeil, A. J., Frey, R., & Embrechts, P. (2010).
*Quantitative Risk Management*. Princeton University Press.

(meucci2010)=
**Meucci2010.** Meucci, A. (2010). Managing diversification.
*Risk Magazine*, 22(5), 74–79.

(meucci2014)=
**Meucci2014.** Meucci, A., Santangelo, A., & Deguest, R. (2014).
Measuring portfolio diversification based on optimized uncorrelated factors.
*SSRN Electronic Journal*.

(protassov2004)=
**Protassov2004.** Protassov, R. S. (2004). EM-based maximum likelihood
parameter estimation for multivariate generalized hyperbolic distributions.

(rauhasanov2004)=
**RauHasanov2004.** Rau-Bredow, H. (2004). Value-at-risk, expected shortfall,
and marginal risk contribution. In *Risk Measures for the 21st Century*, Wiley.

(shi2016)=
**Shi2016.** Shi, X. (2016). *Generalized Hyperbolic Distributions and Related
Topics*. PhD Thesis.

(stankyavichyus2026)=
**Stankyavichyus2026.** Stankyavichyus, A. V. (2026). *Varentropy: Overview,
Computational Routes, and Structural Decomposition*. Preprint.

(tasche1999)=
**Tasche1999.** Tasche, D. (1999). Risk contributions and performance
measurement. Report of the Lehrstuhl für mathematische Statistik, TU München.

(tortora2013)=
**Tortora2013.** Tortora, C., McNicholas, P. D., & Browne, R. P. (2013).
Mixtures of multivariate generalized hyperbolic distributions.