Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities
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- Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko, 2024. "Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives," Energy Economics, Elsevier, vol. 129(C).
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Keywords
stress testing; systemic risk; elliptical conditional probability;All these keywords.
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