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evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …
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Uncertainty shapes the trajectory of business cycles and remains a central research topic in Macroeconomics. When studying the impact of uncertainty on the economy, economists use different uncertainty measures. While all indicators approximate uncertainty along some certain dimension, none of...
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Economic theory suggests that demand uncertainty should influence producer behavior. In this study, we empirically …
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