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Copula-based measures of dependence structure in assets returns
Viviana Fernandez
Business School
Research output
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Contribution to journal
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Article
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peer-review
25
Scopus citations
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Keyphrases
Asset Returns
100%
Copula
100%
Dependence Measure
100%
Dependence Structure
100%
Monte Carlo Simulation
33%
Dependency Structure
33%
Tail Dependence
33%
Stock Data
33%
Management Implications
33%
Random Variables
33%
Joint Distribution Function
33%
Copula Model
33%
Serial Correlation
33%
Conditional Volatility
33%
U.S. Stocks
33%
Portfolio Management
33%
Popular
33%
INIS
data
100%
assets
100%
tools
66%
management
33%
simulation
33%
correlations
33%
randomness
33%
stocks
33%
modeling
33%
monte carlo method
33%
volatility
33%
mimic
33%
distribution functions
33%
Economics, Econometrics and Finance
Capital Market Returns
100%
Finance
50%
Volatility
50%
Monte Carlo Simulation
50%
Portfolio Selection
50%
Computer Science
Dependence Structure
100%
Monte Carlo Simulation
33%
Joint Distribution
33%
Random Variable
33%
Portfolio Management
33%
Mathematics
Random Variable
25%