VAR for VaR: measuring tail dependence using multivariate regression quantiles (Q494385)
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scientific article; zbMATH DE number 6477244
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| default for all languages | No label defined |
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| English | VAR for VaR: measuring tail dependence using multivariate regression quantiles |
scientific article; zbMATH DE number 6477244 |
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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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0.8099449872970581
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0.8025078773498535
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0.7903808355331421
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0.7882159352302551
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0.7809356451034546
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