Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200)
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scientific article; zbMATH DE number 6600717
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| English | Granger causality in risk and detection of extreme risk spillover between financial markets |
scientific article; zbMATH DE number 6600717 |
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Granger causality in risk and detection of extreme risk spillover between financial markets (English)
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4 July 2016
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cross-spectrum
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extreme downside risk
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financial contagion
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Granger causality in risk
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nonlinear time series
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risk management
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value at risk
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0.8632379174232483
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0.7780163884162903
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0.7626768350601196
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0.7586499452590942
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0.747631847858429
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