Chollete, Loran; Heinen, Andréas; Valdesogo, Alfonso - 2008
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 …. He flnds that knowledge of asymmetric dependence leads to signiflcant gains
for an investor with no short …