Emel KIZILOK KARA, Sibel ACIK KEMALOGLU

PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics

2016-Cilt: 65 - Sayı: 2

175-188

Dynamic copula, change point, Conditional Value at Risk (CV aR), portfolio optimization

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