Copula-Based Factor Models for Multivariate Asset Returns
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Cited by:
- Monica Defend & Aleksey Min & Lorenzo Portelli & Franz Ramsauer & Francesco Sandrini & Rudi Zagst, 2021. "Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data," Forecasting, MDPI, vol. 3(1), pages 1-35, February.
- Emma Apps, 2020. "Application of the Absorption Ratio to Illustrate Financial Connectedness and Interlinkages," Working Papers 202022, University of Liverpool, Department of Economics.
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Keywords
COPAR model; dynamic factor model; multivariate time series; optimal mean-variance portfolio; vine copula;All these keywords.
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