Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices
Download full text from publisher
Other versions of this item:
- 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.
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
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mse:wpsorb:b05101. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucie Label). General contact details of provider: http://edirc.repec.org/data/msep1fr.html .
We have no references for this item. You can help adding them by using this form .