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between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …
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In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
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Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...
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