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Tail risk and style dependence in the fund industry: a multivariate extreme value approach
Hambuckers, Julien; Mhalla, Linda; Lambert, Marie
2019CM Statistics conference 2019
Editorial reviewed
 

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Keywords :
tail risk; hedge funds; multivariate extreme value theory
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Hambuckers, Julien ;  Université de Liège - ULiège > HEC Liège : UER > Finance de Marché
Mhalla, Linda;  HEC Montreal
Lambert, Marie ;  Université de Liège - ULiège > HEC Liège : UER > Analyse financière et finance d'entreprise
Language :
English
Title :
Tail risk and style dependence in the fund industry: a multivariate extreme value approach
Publication date :
December 2019
Event name :
CM Statistics conference 2019
Event place :
London, Birbeck University, United Kingdom
Event date :
from 13-12-2019 to 15-12-2019
By request :
Yes
Audience :
International
Peer reviewed :
Editorial reviewed
Available on ORBi :
since 05 September 2019

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