Dependence Modeling > 2013 > 1 > 94-110
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journal ISSN : | 2300-2298 |
DOI | 10.2478/demo-2013-0005 |
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Bibliography
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[1] A. Ang and J. Chen (2002), ‘Asymmetric correlations of equity portfolios’, J. Financ. Econ. 63, pp. 443–494. [Crossref]
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[2] U. Cherubini, E. Luciano, and W. Vecchiato (2004), Copula Methods in Finance, John Wiley.
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[3] J. Dobric and F. Schmid (2005), ‘Nonparametric estimation of the lower tail dependence λL in bivariate copulas’, J. Appl. Stat. 32, pp. 387–407. [Crossref]