Measuring financial risks with copulas

International Review of Financial Analysis

Volumn 13, Issue 1, 2004, Pages 27-45

  Vaz de Melo Mendes, Beatriz ^a,b   Martins de Souza, Rafael ^a  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^b NONE   (Brazil)

Author keywords

Copulas; Dependence measures; Extreme value theory; Financial risks

Indexed keywords

EID: 1642322261     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.01.007     Document Type: Article

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