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Multivariate extremes for models with constant conditional correlations

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Starica, Catalin

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 6 (1999)
Issue (Month): 5 (December)
Pages: 515-553
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Handle: RePEc:eee:empfin:v:6:y:1999:i:5:p:515-553

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  2. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004. [Downloadable!]
  3. Bekiros, S. & Georgoutsos, D., 2006. "Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models," CeNDEF Working Papers 06-17, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  4. Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Quantitative Finance Papers cond-mat/0111310, arXiv.org. [Downloadable!]
  5. Li L. Ong & Srobona Mitra & Jorge A. Chan-Lau, 2007. "Contagion Risk in the International Banking System and Implications for London as a Global Financial Center," IMF Working Papers 07/74, International Monetary Fund. [Downloadable!]
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  7. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge. [Downloadable!]
  8. C.G. de vries, 2004. "The simple economics of bank fragility," WO Research Memoranda (discontinued) 755, Netherlands Central Bank, Research Department. [Downloadable!]
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  9. Philipp Hartmann & Stefan Straetmans & Caspar G. de Vries, 2004. "Fundamentals and joint currency crises," Working Paper Series 324, European Central Bank. [Downloadable!]
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  10. Y. Malevergne & D. Sornette, 2002. "Investigating Extreme Dependences: Concepts and Tools," Quantitative Finance Papers cond-mat/0203166, arXiv.org. [Downloadable!]
  11. James Y. Yao & Donald J. Mathieson & Jorge A. Chan-Lau, 2002. "Extreme Contagion in Equity Markets," IMF Working Papers 02/98, International Monetary Fund. [Downloadable!]
  12. K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June. [Downloadable!] (restricted)
  13. Poon, Ser-Huang & Rockinger, Michael & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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