Risk Measurement and risk modelling using applications of Vine Copulas
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- David E. Allen & Michael McAleer & Abhay K. Singh, 2017. "Risk Measurement and Risk Modelling Using Applications of Vine Copulas," Sustainability, MDPI, Open Access Journal, vol. 9(10), pages 1-34, September.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and Risk Modelling using Applications of Vine Copulas," Tinbergen Institute Discussion Papers 14-054/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Risk Measurement and Risk Modelling Using Applications of Vine Copulas," Working Papers in Economics 14/12, University of Canterbury, Department of Economics and Finance.
References listed on IDEAS
- David E. Allen & Mohammad A. Ashraf & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013.
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More about this item
KeywordsRegular Vine Copulas; Tree structures; Co-dependence modelling; European stock markets.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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