Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach
Year of publication: |
2010
|
---|---|
Authors: | Necula, Ciprian |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - 2010, 3, p. 93-106
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | copula functions | copula mixtures | the efficient portfolio frontier | Conditional VAR | Monte Carlo simulation |
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