Article ID Journal Published Year Pages File Type
5088684 Journal of Banking & Finance 2015 13 Pages PDF
Abstract
Our results make it possible to determine which risk measures can benefit from adding dependence information (i.e., leading to narrower bounds when used to assess portfolio risk) and, hence, to identify those situations for which it would be meaningful to develop accurate multivariate models.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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