Diversification in Firm Valuation: A Multivariate Copula Approach
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- Dißmann, J. & Brechmann, E.C. & Czado, C. & Kurowicka, D., 2013. "Selecting and estimating regular vine copulae and application to financial returns," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 52-69.
- Stefan Erdorf & Nicolas Heinrichs, 2011. "Co-movement of revenue: structural changes in the business cycle," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 411-433, December.
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Keywordsdiversification; firm valuation; dependence modeling; multi-business firm; bankruptcy costs; default probability; copulas; Monte Carlo simulation; discounted cash flow model;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance
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