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Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
16 references·0 citing·35 second hop
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2014Dependence Modeling with Copulas1,564 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2012A review of copula models for economic time series587 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2013

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Multivariate Time Series Analysis: With R and Financial Applications
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