CHOLLETE, Loran; HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2008
copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns. … risk management, because it modifies the Value at Risk
(VaR) of international portfolio returns.
Keywords: asymetric … dependence, canonical vine copula, international returns, regime-switching,
risk management, Value-at-Risk.
JEL Clasification …