Dependence Structure and Portfolio Diversification on Central European Stock Markets
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References listed on IDEAS
- Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
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Keywordsdependence structure; tail dependence; portfolio selection; risk measures;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-23 (All new papers)
- NEP-FMK-2007-01-23 (Financial Markets)
- NEP-RMG-2007-01-23 (Risk Management)
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