Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices
Year of publication: |
2005-12
|
---|---|
Authors: | Guegan, Dominique ; Ladoucette, Sophie A. |
Institutions: | HAL |
Subject: | Archimedean copulas | estimation theory | Kendall's tau | multivariate extremes | portfolio |
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