Multivariate copulas in financial market risk with particular focus on trading strategies and asset allocation
D.Comm. === Copulas provide a useful way to model different types of dependence structures explicitly. Instead of having one correlation number that encapsulates everything known about the dependence between two variables, copulas capture information on the level of dependence as well as whether the...
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2012
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| Online Access: | http://hdl.handle.net/10210/8099 |