Extremal Dependence and Contagion
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- Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017.
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KeywordsCo-skewness; Co-kurtosis; Co-volatility; Contagion testing; Extremal dependence; Financial crisis; Lagrangian multiplier tests.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- F30 - International Economics - - International Finance - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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