Copula-based measures of dependence structure in assets returns
Year of publication: |
2008
|
---|---|
Authors: | Fernandez, Viviana |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 14, p. 3615-3628
|
Publisher: |
Elsevier |
Subject: | Copulas | Tail dependence | Value-at-risk | Expected shortfall |
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