University of Duisburg-Essen
Symbolic performance; Currency clustering; Currency dynamics; Central bank intervention
cross-impact, market microstructure, statistical analysis, complex systems, econophysics
Copulas, Financial time series, Nonstationarity, Asymmetry, Multivariate mixture, K-copula
Copulas, Market states, Nonstationarity, Asymmetry, Multivariate mixture, K-copula
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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula
File name: SSRN-id2795524.pdf
nonstationarity, random matrix theory, Merton model, value-at-risk
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