Chollete, Loran; Heinen, Andreas; Valdesogo, Alfonso - Center for Operations Research and Econometrics … - 2008
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 …