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Pricing the Correlation Skew with Normal Mean-Variance Mixture Copulas

Lujan, Ignacio - 2021

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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

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Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

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Inversions distribution and testing correlation changes for rates of return

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A multivariate tail covariance measure for elliptical distributions

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Correlation as probability : applications of Sheppard's formula to financial assets

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