An order of asymmetry in copulas, and implications for risk management
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References listed on IDEAS
- Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012.
"Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach,"
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More about this item
KeywordsAsymmetry; Exchangeability; Copula; Diversification; Dependence modeling;
- 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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