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Asymmetry in tail dependence in equity portfolios · Study

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ArticleAsymmetry in tail dependence in equity portfolios

Éric Jondeau2015

Article2015

Asymmetry in tail dependence in equity portfolios

41 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Complex Systems and Time Series Analysis

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Modelling of extremal events in insurance and finance 1998Evaluating Interval Forecasts 2001Extreme Correlation of International Equity Markets 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2006Quantitative Risk Management: Concepts, Techniques, and Tools 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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2021Modelling extreme risks for carbon emission allowances — Evidence from European and Chinese carbon markets

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Year2015

Typearticle

Published2015-03-09

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations41

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2015.02.014

openalex_workW3124536635

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