Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution
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More about this item
KeywordsSystemic risk contribution; Global financial crisis; ADCC; CoVaR;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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