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~institution:"Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain"
~institution:"London School of Economics (LSE)"
~institution:"Springer Fachmedien Wiesbaden"
~person:"Alfonso, VALDESOGO"
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Value-at-Risk
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asymmetric dependence
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canonical vine copula
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international returns
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regime-switching
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risk management
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Alfonso, VALDESOGO
Danielsson, Jon
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
London School of Economics (LSE)
Springer Fachmedien Wiesbaden
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Modelling international financial returns with a multivariate regime switching copula
Loran, CHOLLETTE
;
Andreas, HEINEN
;
Alfonso, VALDESOGO
-
Institut de Recherche Économique et Sociale (IRES), …
-
2008
copula is important for risk management, because it modifies the
Value
at
Risk
(VaR) of international portfolio returns. …
Persistent link: https://www.econbiz.de/10004984711
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