The simple econometrics of tail dependence
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More about this item
KeywordsTail dependence; Regression analysis; Extreme Value Theory; Systemic risk;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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