Systemic tail risk: high-frequency measurement, evidence and implications
Year of publication: |
[2023]
|
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Authors: | Erdemlioglu, Deniz ; Neely, Christopher J. ; Yang, Xiye |
Publisher: |
St. Louis, MO : Federal Reserve Bank of St. Louis, Research Division |
Subject: | Time-varying tail risk | High-frequency data | FOMC news | Monetary policy announcements | Cojumps | Systemic risk | Jump intensity | Geldpolitik | Monetary policy | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Statistische Verteilung | Statistical distribution | Politische Kommunikation | Political communication |
Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
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Series: | Working paper. - Saint Louis, Mo., ZDB-ID 2135914-3. - Vol. 2023, 016A (July 2023) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.20955/wp.2023.016 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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