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contagion from purely observational data. It is especially helpful as a corrective to some of the more extreme statements of …
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Due to its simplicity and familiarity, the Gaussian copula is popular in calculating risk in collaterized debt obligations, but it imposes asymptotic independence such that extreme events appear to be unrelated. This restriction might be innocuous in normal times, but during extreme events, such...
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contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess …We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and … extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively …
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