Canonical vine copulas in the context of modern portfolio management: Are they worth it?
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More about this item
KeywordsVine copula; Clayton copula; Asymmetric dependence; Portfolio management; Canonical vine; Conditional value-at-risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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