Relation between higher order comoments and dependence structure of equity portfolio
Year of publication: |
January 2017
|
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Authors: | Cerrato, Mario ; Crosby, John ; Kim, Minjoo ; Zhao, Yang |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 40.2017, p. 101-120
|
Subject: | Higher order comoments | Dependence structure | Hyperbolic generalized skewed t copula | Generalized autoregressive score | Risk management | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Zeitreihenanalyse | Time series analysis |
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