Dependence structure of CAT bonds and portfolio diversification : a copula-GARCH approach
Adlane Haffar, Éric Le Fur
| Year of publication: |
2022
|
|---|---|
| Authors: | Haffar, Adlane ; Le Fur, Eric |
| Subject: | CAT bonds | Copula-GARCH model | Portfolio diversification | Portfolio risk | Robust MCD portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomodell | Risk model | Anleihe | Bond | Katastrophe | Disaster | Portfoliodiversifikation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-022-00271-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013391992