FLAVIO A. ZIEGELMANN
Department of Statistics (UFRGS)
flavioaz@mat.ufrgs.br
(email)
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Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization
,
Alovisi, G., and Ziegelmann F. A.
, (Submitted)
Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas
,
Abreu, L., Tofoli P., and Ziegelmann F. A.
, (Submitted)
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