The simple econometrics of tail dependence
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference14 articles.
1. International asset allocation with regime shifts;Ang;Review of Financial Studies,2002
2. Asymmetric correlations of equity portfolios;Ang;Journal of Financial Economics,2002
3. The dark side of global integration: increasing tail dependence;Beine;Journal of Banking & Finance,2010
4. Back to the basics in banking? a micro-analysis of banking system stability;De Jonghe;Journal of Financial Intermediation,2010
5. The simple economics of bank fragility;De Vries;Journal of Banking & Finance,2005
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