Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
DOI10.1007/S10260-020-00527-5zbMath1480.62215OpenAlexW3036914094MaRDI QIDQ2059101
Adán Díaz-Hernández, Yuri Salazar Flores
Publication date: 13 December 2021
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-020-00527-5
nonparametric estimationvine copulascounterdiagonal/nonpositive tail dependencefinancial asset returns
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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