Conditional extremes in asymmetric financial markets
Year of publication: |
2020
|
---|---|
Authors: | Nolde, Natalia ; Zhang, Jinyuan |
Subject: | Asymmetry | Backtesting | Bivariate skew-elliptical distribution | Bivariate skew-t distribution | Conditional extremes | CoVaR | Heavy tails | Multivariate regular variation | Risk contagion | Systemic risk. | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Schätzung | Estimation | ARCH-Modell | ARCH model | Systemrisiko | Systemic risk | Ansteckungseffekt | Contagion effect | Ausreißer | Outliers | Finanzkrise | Financial crisis |
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