Detecting Risk Transfer in Financial Markets using Different Risk Measures
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mario Brandtner, 2016. "“Spectral Risk Measures: Properties and Limitations”: Comment on Dowd, Cotter, and Sorwar," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 121-131, February.
- Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer;Vienna University of Economics and Business, vol. 66(2), pages 75-115, April.
More about this item
Keywordsextreme value theory; risk measures; Granger causality in risk; Chinese financial processes;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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