Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach
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DOI: 10.1016/j.frl.2018.10.018
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- Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
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Keywords
Copula function; Three stage estimator; Multiple time series; Tail dependence;All these keywords.
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