Dépendance entre risques extrêmes : Application aux Hedge Funds
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More about this item
Keywords
tail dependence; Copulas; parametric approach; non parametric approach; semiparametric approach;All these keywords.
JEL classification:
- 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
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2010-06-26 (Central Banking)
- NEP-FMK-2010-06-26 (Financial Markets)
- NEP-IFN-2010-06-26 (International Finance)
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