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regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the … and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …
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This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...
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