Extremal Dependence in International Output Growth: Tales from the Tails
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References listed on IDEAS
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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- Miguel de Carvalho & AntÃ³nio Rua, 2014. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," Working Papers w201416, Banco de Portugal, Economics and Research Department.
More about this item
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-31 (All new papers)
- NEP-CBA-2010-07-31 (Central Banking)
- NEP-ECM-2010-07-31 (Econometrics)
- NEP-FDG-2010-07-31 (Financial Development & Growth)
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