Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate-Adjusted Dependence Graphs
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DOI: 10.1016/j.ribaf.2023.102077
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Keywords
Downside risk; Entropic value-at-risk (EVaR); Partial correlation coefficient; Conditional mutual information (CMI); Spatiotemporal graph embedding; Machine Learning;All these keywords.
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