Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets
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- Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
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More about this item
KeywordsExtreme value theory; Wavelet-based extreme value theory; Emerging markets;
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