Tail dependence and diversification benefits in emerging market stocks : an extreme value theory approach
Year of publication: |
2014
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Authors: | Ergen, Ibrahim |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 46.2014, 19/21, p. 2215-2227
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Subject: | tail dependence | diversification benefits | emerging markets | extreme value theory | Schwellenländer | Emerging economies | Ausreißer | Outliers | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution |
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