Estimating dynamic systemic risk measures
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More about this item
Keywords
conditional CoVaR and Delta-CoVaR; empirical distribution of bivariate residuals; model-free estimation risk; multivariate risks.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-06-20 (Econometrics)
- NEP-ETS-2022-06-20 (Econometric Time Series)
- NEP-RMG-2022-06-20 (Risk Management)
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