Selecting pair-copulas with downside risk minimisation
Year of publication: |
2011
|
---|---|
Authors: | Zhang, Jin ; Maringer, Dietmar |
Published in: |
International Journal of Financial Markets and Derivatives. - Inderscience Enterprises Ltd, ISSN 1756-7130. - Vol. 2.2011, 1/2, p. 121-148
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | downside risk | AR-TGARCH | pair copulas | asset allocation | differential evolution | modelling | dependence structure | financial products | portfolio loss prediction | portfolio investment |
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