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This paper surveys the most important developments in measuring dependence of multivariate financial time series. It reviews the Asymmetric Dynamic Conditional Correlation model specifications and inf...erence methods, the copula approach and tail dependence coefficients derived from it. We have a discussion about some statistical tests for the existence of asymmetric dependence, and more important, the non-universality of asymmetries in dependence. We highlight the importance of studying asymmetric dependence in risk management.続きを見る
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