A generalized error distribution copula-based method for portfolios risk assessment
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Publication:2159132
DOI10.1016/j.physa.2019.04.077OpenAlexW2942886165WikidataQ127931610 ScholiaQ127931610MaRDI QIDQ2159132
Demetrio Panarello, Massimiliano Giacalone, Roy Cerqueti
Publication date: 26 July 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://openresearch.lsbu.ac.uk/download/51dce6079aaf883d45b70e0951eb039f4af2eb4ddbfe2c3e5aa8d1b801751825/345086/CGP_Rev1_17012019.pdf
portfolio theoryGaussian copulaeconophysicsconditional value-at-riskgeneralized correlation coefficientgeneralized error distribution
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