Kole, H.J.W.G.

crash return model crisis copula market probability portfolio dependence bubble regime asset 0.00 stock volatility investor table effect strategy month distribution estimate result value journal correlation parameter student gaussian gaussian copula function industry finance estimation likelihood gumbel copula measure crises allocation variable period t copula crisis regime strength gumbel change increase section difference certainty equivalent return number factor level structure process signal management approach analysis observation report state statistic hong kong market country utility tail dependence interest figure index fication estate price domino effect bubble signals t dependence function october panel europe crash risk