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Persistent link: https://www.econbiz.de/10013262566
This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series' interdependence is estimated via a Copula approach rather than the...
Persistent link: https://www.econbiz.de/10013134426