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Investments in the field of statistics are critical to secure innovative and reproducible science, more trustworthy artificial intelligence, and a US workforce fluent in reasoning under uncertainty.
Equity correlation matrices are foundational to quantitative risk, yet the operational default of a single Gaussian-copula structure fit to the full sample has a structural defect: it forces asymptotic tail-independence and so cannot represent the joint moves that drive risk in stress episodes. We argue that the depend...
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