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modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …
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the entropy of copulas is the dual to the problem of minimizing the Kullback-Leibler cross entropy (KLCE) of joint …
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It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...
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