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2020•Statistical Methods & ApplicationsRequires access

Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management

Yuri Salazar Flores, Adán Díaz Hernández

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Key concepts: Vine copula, Copula (linguistics), Tail dependence, Econometrics, Bivariate analysis, Portfolio, Replicate, Parametric statistics

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Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management — Research Paper | ScholarLens