Canonical vine copulas in the context of modern portfolio management: Are they worth it?

Journal of Banking and Finance

Volumn 37, Issue 8, 2013, Pages 3085-3099

  Low, Rand Kwong Yew ^a   Alcock, Jamie ^b,c   Faff, Robert ^a   Brailsford, Timothy ^d  

^a UNIVERSITY OF QUEENSLAND   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^d BOND UNIVERSITY   (Australia)

Author keywords

Asymmetric dependence; Canonical vine; Clayton copula; Conditional value at risk; Portfolio management; Vine copula

Indexed keywords

EID: 84878629122     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.02.036     Document Type: Article

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