Extremal Dependence in International Output Growth: Tales from the Tails-Reference-Cited by-同舟云学术

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Extremal Dependence in International Output Growth: Tales from the Tails

Published:2013-04-28 Issue:4 Volume:76 Page:605-620
ISSN:0305-9049
Container-title:Oxford Bulletin of Economics and Statistics
language:en
Short-container-title:Oxf Bull Econ Stat

Author:

de Carvalho Miguel¹,Rua António²

Affiliation:

1. Pontificia Universidad Católica de Chile; Vicuña Mackenna 4860 Santiago Chile

2. Banco de Portugal; Economic Research Department; Lisbon Portugal

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/obes.12032/fullpdf

Reference35 articles.

1. Determinants of business cycle comovement: a robust analysis;Baxter;Journal of Monetary Economics,2005

2. Statistics of Extremes

3. Jump tails, extreme dependencies, and the distribution of stock returns;Bollerslev;Journal of Econometrics,2013

4. Scaling the volatility of GDP growth rates;Canning;Economics Letters,1998

5. The patterns of output growth of firms and countries: scale invariances and scale specificities;Castaldi;Empirical Economics,2009

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. An Application of Extreme Value Theory for Measuring Financial Risk in BRICS Economies;Annals of Data Science;2020-06-22

2. Real-time nowcasting the US output gap: Singular spectrum analysis at work;International Journal of Forecasting;2017-01

3. Tail Dependence in the US Banking Sector and Measures of Systemic Risk;SSRN Electronic Journal;2012

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