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area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
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functions in conjunction with the dependence of price on distance, and consider whether spatial interaction theory can provide … this explanation is not unequivocal. On the other hand we show that incorporating spatial interaction theory elements in a …
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Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
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