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Modeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvar
Kemaloglu, Sibel Acik; Kara, Emel Kizilok (Ankara Univ, Fac Sci, 2015)This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using copula. Since financial data is greatly affected by the economic factors, it often varies according to ...