Copulas and bivariate risk measures : an application to hedge funds
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- Espinola-Arredondo, Ana, 2008. "Green auctions: A biodiversity study of mechanism design with externalities," Ecological Economics, Elsevier, vol. 67(2), pages 175-183, September.
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KeywordsHedge fund strategies; share index; dependence; copula; tail dependence; bivariate Value at Risk;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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