Modeling financial sector joint tail risk in the Euro Area
Year of publication: |
January/February 2017
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Authors: | Lucas, André ; Schwaab, Bernd ; Zhang, Xin |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 1, p. 171-191
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Subject: | dynamic equicorrelation | generalized hyperbolic distribution | law of large numbers | large portfolio approximation | Theorie | Theory | Statistische Verteilung | Statistical distribution | Eurozone | Euro area | Portfolio-Management | Portfolio selection | EU-Staaten | EU countries | Schätzung | Estimation |
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