Managing risk with a realized copula parameter
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Cites work
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Cited in
(10)- Time-varying joint distribution through copulas
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Estimating dynamic copula dependence using intraday data
- Minimum variance hedging based on time-varying copulas
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- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
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