Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2016.1240346
Reference44 articles.
1. Pair-copula constructions of multiple dependence
2. Financial dependence analysis: applications of vine copulas
3. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
4. Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization
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