Investment portfolio risk modelling based on hierarchical copulas
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References listed on IDEAS
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More about this item
Keywordscopula; hierarchical copula; tail dependence; expected shortfall (ES); Value-at-Risk (VaR);
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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