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~isPartOf:"Documents de travail du Centre d'Economie de la Sorbonne"
~isPartOf:"Post-Print / HAL"
~subject:"Level sets estimation"
~subject:"multivariate copulas"
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Level sets estimation
multivariate copulas
Euro area
5
GDP
4
economic indicators
4
energy prices
4
multivariate GARCH models
4
Carbon emission trading
3
Forecast
3
Multivariate risk
3
VAR
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Vines
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model selection
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structural break
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Background risk
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Economic indicators
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Multivariate k-nearest neighbor
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Multivariate risk sharing
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Performance measure
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VaR
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Vine copulas
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absolute return strategy
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asymptotic normality
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asymptotic normality of the regression
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comonotonicity
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confidence intervals
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forecasts
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individually rational Pareto optima
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large portfolios
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mixing time series
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multivariate k-nearest neighbor regression
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multivariate probit
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multivariate statistics
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non parametric approach
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portfolio management
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relative-value strategy
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risk management
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structural breaks
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Archimedean copulas
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Guegan, Dominique
5
Maugis, Pierre-André
5
Bernardino, Elena Di
1
Rullière, Didier
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HAL
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Documents de travail du Centre d'Economie de la Sorbonne
Post-Print / HAL
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1
Distortions of
multivariate
distribution functions and associated level curves: applications in
multivariate
risk theory
Bernardino, Elena Di
;
Rullière, Didier
-
HAL
-
2013
In this paper, we propose a parametric model for
multivariate
distributions. The model is based on distortion functions …, i.e. some transformations of a
multivariate
distribution which permit to generate new families of
multivariate
… univariate optimizations, and we nally get parametric representations of both
multivariate
distribution functions and associated …
Persistent link: https://www.econbiz.de/10010820603
Saved in:
2
An econometric Study for Vine Copulas
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2011
structure is interesting to compute
multivariate
distributions for dependent random variables. We proove the asymptotic …
Persistent link: https://www.econbiz.de/10010635183
Saved in:
3
Note on new prospects on vines
Maugis, Pierre-André
;
Guegan, Dominique
-
HAL
-
2010
In this paper, we present a new methodology based on vine copulas to estimate
multivariate
distributions in high …
Persistent link: https://www.econbiz.de/10010603636
Saved in:
4
New Prospects on Vines
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2010
In this paper, we present a new methodology based on vine copulas to estimate
multivariate
distributions in high …
Persistent link: https://www.econbiz.de/10010603639
Saved in:
5
An Econometric Study of Vine Copulas
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2010
structure is interesting to compute
multivariate
distributions for dependent random variables. We proove the asymptotic …
Persistent link: https://www.econbiz.de/10010603691
Saved in:
6
New prospects on vines.
Guegan, Dominique
;
Maugis, Pierre-André
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2008
In this paper, we present a new methodology based on vine copulas to estimate
multivariate
distributions in high …
Persistent link: https://www.econbiz.de/10004988963
Saved in:
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