Tail Dependence: A Cross-Industry Comparison
Sander Muns and Michiel Bijlsma
The Journal of Portfolio Management Spring 2015, 41 (3) 109-116; DOI: https://doi.org/10.3905/jpm.2015.41.3.109
Sander Muns
is a research associate at CPB Netherlands Bureau for Economic Policy Analysis, and a PhD candidate at Erasmus University Rotterdam in Rotterdam, The Netherlands.
Michiel Bijlsma
is head of sector competition and regulation at CPB Netherlands Bureau for Economic Policy Analysis and extramural fellow at TILEC Tilburg University in Tilburg, The Netherlands.
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Tail Dependence: A Cross-Industry Comparison
Sander Muns, Michiel Bijlsma
The Journal of Portfolio Management Apr 2015, 41 (3) 109-116; DOI: 10.3905/jpm.2015.41.3.109