Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors
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- Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-02 (All new papers)
- NEP-FMK-2014-02-02 (Financial Markets)
- NEP-IAS-2014-02-02 (Insurance Economics)
- NEP-RMG-2014-02-02 (Risk Management)
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