Forward-looking measures of higher-order dependencies with an application to portfolio selection
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Bibliographic InfoPaper provided by University of Cologne, Centre for Financial Research (CFR) in its series CFR Working Papers with number 13-08.
Date of creation: 2013
Date of revision:
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More information through EDIRC
option-implied information; dependence measures; higher moments; portfolio selection;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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