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three methods: descriptive error statistics, signal-to-noise ratios and entropy measures. Our results document a trend of …, Euro area signal-noise-ratios and entropy measures are correlated with popular uncertainty proxies, Euro area news …
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We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...
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