Diversification and Value-at-Risk

Journal of Banking and Finance

Volumn 34, Issue 1, 2010, Pages 55-66

  Pérignon, Christophe ^a   Smith, Daniel R ^b  

^a HEC PARIS   (France)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

Copulas; Diversification; Dynamic conditional correlation; Value at Risk

Indexed keywords

EID: 70350244826     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.07.003     Document Type: Article

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