Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
In: Market Institutions and Financial Market Risk
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Other versions of this item:
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
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More about this item
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
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