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Recovering copulas from limited information and an application to asset allocation · Study

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ArticleRecovering copulas from limited information and an application to asset allocation

Ba Chu2011

Article2011

Recovering copulas from limited information and an application to asset allocation

44 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1965The Behavior of Stock-Market Prices 1999An Introduction to Copulas 1991Efficient Capital Markets: II 1988Dividend yields and expected stock returns 1981Stock Returns, Real Activity, Inflation, and Money 2001Extreme Correlation of International Equity Markets 2001Consumption, Aggregate Wealth, and Expected Stock Returns 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

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Year2011

Typearticle

Published2011-01-07

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations44

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2010.12.011

openalex_workW2064508012

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