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Apr 18 2013 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Pair Copula Construction based Expected Shortfall estimation |
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Abstract Contact Information Citation Full Text - Note |
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Apr 09 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach |
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Abstract Contact Information Citation Full Text - Note |
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Jan 20 2012 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Predicting the risk of global portfolios considering the non-linear dependence structures |
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Abstract Contact Information Citation Full Text - Note |
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