Selecting copulas for risk management

Journal of Banking & Finance - Tập 31 - Trang 2405-2423 - 2007
Erik Kole1, Kees Koedijk2,3, Marno Verbeek2
1Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Burg. Oudlaan 50, Room H11-10, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands
2Department of Financial Management, RSM Erasmus University, Erasmus University Rotterdam, The Netherlands
3Center for Economic Policy Research, 90-98 Goswell Road, London EC1V 7RR, UK

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