Selecting copulas for risk management

B-Tier

Journal: Journal of Banking & Finance

Year: 2007

Volume: 31

Issue: 8

Pages: 2405-2423

Authors (3)

Kole, Erik (Erasmus Universiteit Rotterdam) Koedijk, Kees (not in RePEc) Verbeek, Marno (Erasmus Universiteit Rotterdam)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count