Mariângela Mendes Semeraro

Universidade Federal do Rio de Janeiro (UFRJ)

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Scholarly Papers (1)

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Pair-Copulas Modeling in Finance

Financial Markets and Portfolio Management, Vol. 24, No. 2, pp. 193-213, 2010
Posted: 18 Jun 2010
Beatriz V.M. Mendes, Mariângela Mendes Semeraro and Ricardo P. C. Leal
Instituto Nacional de Matemática Pura e Aplicada (IMPA), Universidade Federal do Rio de Janeiro (UFRJ) and The COPPEAD Graduate School of Business

Abstract:

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Pair-Copulas, Multivariate Modeling, Markowitz Mean Variance Model