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- W2362692948 abstract "The expansion of the form of a variety of SV models with a variety of Copula functions are combined to analyze the portfolio risk of actual stock of China.The experiential result indicates that the choice of marginal distributions and correlation of variables effect the joint distribution,and Gumbel-copula-SV-GED risk in the calculation of VaR has certain advantages." @default.
- W2362692948 created "2016-06-24" @default.
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- W2362692948 date "2010-01-01" @default.
- W2362692948 modified "2023-09-25" @default.
- W2362692948 title "Portfolio Risk Analysis Based on Copula-SV-GED Model" @default.
- W2362692948 hasPublicationYear "2010" @default.
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