Co-dependence of Extreme Events in High Frequency FX Returns
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- Polanski, Arnold & Stoja, Evarist, 2014. "Co-dependence of extreme events in high frequency FX returns," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 164-178.
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More about this item
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-ETS-2013-03-30 (Econometric Time Series)
- NEP-MST-2013-03-30 (Market Microstructure)
- NEP-RMG-2013-03-30 (Risk Management)
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