Asymmetry in tail dependence in equity portfolios
type: Item
instance of: scholarly article
title: Asymmetry in tail dependence in equity portfolios
zbMATH Open document ID: 1466.62110
author: Eric Jondeau
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6918340
zbMATH Keywords: multivariate noncentral \(t\) distribution
zbMATH Keywords: tail dependence
zbMATH Keywords: stock return asymmetry
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.csda.2015.02.014
OpenAlex ID: W3124536635
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DOI: 10.1016/J.CSDA.2015.02.014
description: scientific article; zbMATH DE number 6918340