Comments on: Inference in multivariate Archimedean copula models
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References listed on IDEAS
- Schmidt, Rafael & Schmieder, Christian, 2009.
"Modelling dynamic portfolio risk using risk drivers of elliptical processes,"
Insurance: Mathematics and Economics,
Elsevier, vol. 44(2), pages 229-244, April.
- Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank.
- Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
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