Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices
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- Dominique Guegan & Sophie A. Ladoucette, 2005. "Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices," Post-Print halshs-00189214, HAL.
References listed on IDEAS
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More about this item
KeywordsArchimedean copulas; estimation theory; Kendall's tau; multivariate extremes; portfolio.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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