The Most Entropic Canonical Copula with an Application to ‘Style’ Investment
Author:
Affiliation:
1. Department of Economics, Carleton University
2. Discipline of Finance, Sydney University and Trinity College; Cambridge
Publisher
John Wiley & Sons Ltd
Reference66 articles.
1. Variable selection for portfolio choice;Ait-Sahalia;Journal of Finance,2001
2. Testing for serial correlation against an ARMA(1,1) process;Andrews;Journal of the American Statistical Association,1996
3. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002
4. Style investing;Barberis;Journal of Financial Economics,2003
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