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Showing 1 to 1 of 1 for “"copula counting technique"”.
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Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
… considered for benchmarking purposes. Pair vine copula models including canonical vines (c-vines), drawable vines (d-vines) and regular vines (r-vines) are fitted for the analysis of the portfolios’ multivariate dependence and their underlying sectors’ dependence risk dynamics. Besides, linear …