International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach
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More about this item
KeywordsArchimedean copula; Gumbel; Frank; Clayton copulas; dependence structures; international diversification;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G2 - Financial Economics - - Financial Institutions and Services
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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