An order of asymmetry in copulas, and implications for risk management
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DOI: 10.1016/j.insmatheco.2016.03.008
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- Siburg, Karl Friedrich & Strothmann, Christopher & Weiß, Gregor, 2024. "Comparing and quantifying tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 95-103.
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Keywords
; ; ; ; ;JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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