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Modeling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas
Braun, Valentin, (2011)
Modelling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas
Braun, Valentin, (2016)
Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan, (2012)
Recovering copulas from limited information and an application to asset allocation
Chu, Ba, (2011)
Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
Chu, Ba, (2012)
Time-specific average estimation of dynamic panel regressions
Chu, Ba, (2022)