Institute of Economics (ECON)
Karlsruhe Institute of Technology (KIT)
GARCH-MIDAS, LM test, Long-term Volatility, Volatility Component Models
systemic risk contribution, tail dependence, network topology, sovereignbank linkages, Value-at-Risk
systemic risk contribution; tail dependence; network topology; sovereign-bank linkages; Value-at-Risk
Risk neutral density, Pricing kernel, Kernel smoothing, Local polynomials, Series methods
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