Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
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KeywordsMarkov switching; tail risk interdependence; risk measures;
- C - Mathematical and Quantitative Methods
- E - Macroeconomics and Monetary Economics
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
- G - Financial Economics
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