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Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk

Juan Carlos Escanciano () and Javier Hualde ()
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Javier Hualde: Universidad Publica de Navarra

No 2017-017, CAEPR Working Papers from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington

Keywords: Nonlinear dependence; Tail risk; Expected Short-fall; Persistence in variance; Market crashes (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2017-12
New Economics Papers: this item is included in nep-rmg
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Related works:
Journal Article: Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (2021) Downloads
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