Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk

Juan Carlos Escanciano and Javier Hualde ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://caepr.indiana.edu/RePEc/inu/caeprp/caepr2017-017.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inu:caeprp:2017017

Access Statistics for this paper

More papers in CAEPR Working Papers from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Contact information at EDIRC.
Bibliographic data for series maintained by Center for Applied Economics and Policy Research ().