Investment portfolio risk modelling based on hierarchical copulas
Year of publication: |
2014
|
---|---|
Authors: | Penikas, Henry |
Published in: |
Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 35.2014, 3, p. 18-38
|
Publisher: |
Publishing House "SINERGIA PRESS" |
Subject: | copula | hierarchical copula | tail dependence | expected shortfall (ES) | Value-at-Risk (VaR) |
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