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Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management |
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| Authors: | Salazar Flores,Yuri,D&# az-Hern&# ndez,Ad&# n |
| Affiliation: | Salazar Flores,Yuri,Díaz-Hernández,Adán |
| Abstract: | Statistical Methods & Applications - Accurately modelling the dependence structure between financial assets in a portfolio optimization framework has attracted growing attention in statistical... |
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