VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385): Difference between revisions

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Latest revision as of 17:38, 10 July 2024

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VAR for VaR: measuring tail dependence using multivariate regression quantiles
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    VAR for VaR: measuring tail dependence using multivariate regression quantiles (English)
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    1 September 2015
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    quantile impulse-responses
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    spillover
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    codependence
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    CAViaR
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