Heinen, Andreas; Valdesogo, Alfonso - Center for Operations Research and Econometrics … - 2009
and dependence is key for solving many financial
problems, including optimal portfolios and risk management. A large … correlation models in the context of risk management and note that “the
viability of [copula] methods in very high … contribution is threefold. First, to the best of our knowledge, the CAVA is the only
model that can be used for high dimensions …