Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market
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References listed on IDEAS
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More about this item
Keywordspair-copula constructions; regular vines; EGARCH; tail dependence functions; portfolio optimization;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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