المؤلفون: Dominique Guegan, Giorgia Rivieccio, Giovanni De Luca

المساهمون: Parthenope University, University Parthenope of Naples, Université Paris 1 Panthéon-Sorbonne (UP1), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Labex ReFi, University of Ca’ Foscari [Venice, Italy]

المصدر: Finance Research Letters
Finance Research Letters, Elsevier, 2018, ⟨10.1016/j.frl.2018.10.018⟩

مصطلحات موضوعية: 050208 finance, Three stage, 05 social sciences, Tail dependence, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Copula (probability theory), Nonlinear system, Autoregressive model, Joint probability distribution, JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General, Copula function, Multiple time series, Three stage estimator, Finance, 0502 economics and business, Econometrics, Multiple time, Tail risk, 050207 economics, Mathematics

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::75da951adb14bd9bb6519eab266336e8Test
https://doi.org/10.1016/j.frl.2018.10.018Test

المؤلفون: Giovanni De Luca, Giorgia Rivieccio

المصدر: Finance Research Letters. 17:55-61

مصطلحات موضوعية: 050208 finance, Sharpe ratio, 05 social sciences, Vector AutoRegressive models, Cross-dependence, Statistics::Other Statistics, Covariance, Copula (probability theory), Autoregressive model, 0502 economics and business, Statistics, Econometrics, Economics, Multiple time, Copula function, Point of departure, 050203 business & management, Finance, Stock (geology)

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::64272c76391adea5fe57fd73d14d856fTest
https://doi.org/10.1016/j.frl.2016.01.006Test