P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
too big to fail, too connected to fail, determinants of systemic importance, systemically important financial institution, systemic risk, systemic importance, multivariate extreme value theory
Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk
Electricity prices, weather forecasts, point and density forecasts, GARCH models
Exchange market pressure, systemic risk, capital flows
jump-diffusion model, GARCH filtering, asset pricing
Option pricing, risk neutral distribution, variance risk premium
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