Conditional Extremes in Asymmetric Financial Markets
Author:
Affiliation:
1. Department of Statistics, University of British Columbia, Vancouver, BC V6T 1Z4, Canada ()
2. INSEAD, Department of Finance, Fontainebleau 77300, France ()
Funder
Natural Sciences and Engineering Research Council of Canada
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2018.1476248
Reference44 articles.
1. Extreme behaviour for bivariate elliptical distributions
2. Measuring Systemic Risk
3. Skewed distributions in finance and actuarial science: a review
4. CoVaR
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