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- W3193669975 abstract "The paper proposes a new copula for modeling higher-order dependencies between pairs of portfolio assets, employing orthogonal polynomials to model symmetric co-kurtoses. Skewness and leptokurtosis of portfolio margins are modeled either with the Gram–Charlier expansion of the Normal distribution or Gram–Charlier-like expansions of leptokurtic laws. Details on the estimation method of this copula are provided, and a simulation study is carried out to assess its potential range of applicability with respect to widely employed alternatives in the copula literature. Empirical evidence of the suitability of this approach to model financial data and compute risk measures is provided." @default.
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- W3193669975 date "2021-11-01" @default.
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- W3193669975 title "A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors" @default.
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- W3193669975 doi "https://doi.org/10.1016/j.najef.2021.101529" @default.
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