Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
DOI10.1080/14697688.2019.1670857zbMath1466.91317OpenAlexW2981102935WikidataQ126998329 ScholiaQ126998329MaRDI QIDQ4991032
Marcus Scheffer, Gregor N. F. Weiß
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1670857
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45) Financial markets (91G15)
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