Asset Pair-Copula Selection with Downside Risk Minimization
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References listed on IDEAS
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More about this item
KeywordsDownside Risk; AR-TGARCH; Pair-Copula; Vine Structure; Differential Evolution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-29 (All new papers)
- NEP-ECM-2010-05-29 (Econometrics)
- NEP-RMG-2010-05-29 (Risk Management)
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