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Yuting Gong, author
ABSTRACT
We propose a dynamic skewed copula to model multivariate dependence in asset returns in a flexible yet parsimonious way. We then apply the model to 50 exchange traded funds. The new copula is shown to have better in sample and out of sample performance than existing copulas. In particular, the...
Jakarta: Bank Indonesia Insitute, 2019
332 BEMP 22:1 (2019)
Artikel Jurnal Universitas Indonesia Library
