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Volumn 30, Issue 4, 2013, Pages 307-342

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Author keywords

factor model; portfolio management; Value at Risk; Vines

Indexed keywords


EID: 84885993482     PISSN: 21931402     EISSN: 21967040     Source Type: Journal    
DOI: 10.1524/strm.2013.2002     Document Type: Article
Times cited : (132)

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