HEC Paris - Finance Department
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Factors, threshold correlation, copulas, portfolio optimization, asymmetry.
Asset allocation, dynamic dependence, dynamic copula, asymmetric dependence
approximate factor model, emerging markets, international asset pricing, large panel, market integration, time-varying risk premium
Credit risk, default risk, CDS, dynamic dependence, copula
Systematic skewness, coskewness, idiosyncratic skewness, large panel regression, forecasting
Accounting information; CDS; jumps; market integration
International asset pricing, liquidity level, liquidity risk, transaction cost, emerging markets, market integration.
Hedging, European Option, American Option, Risk
Portfolio Choice, Mean-Variance, Asset Allocation, Estimation Risk
Asymmetry, coskewness, idiosyncratic skewness
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