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Extending the CAPM Using Pair Copulas: . . .

By E. C. Brechmann and C. Czado
Topics: CAPM, multivariate copula, regular vines, simplification, market risk, Value-at
Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.189.2484
Provided by: CiteSeerX
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