Faculty of Economics - Finance Department
P.O. Box 616
6200 MD Maastricht
University of Maastricht - Limburg Institute of Financial Economics (LIFE)
in Total Papers Downloads
in Total Papers Citations
Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP2916.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence
Banking, Systemic Risk, Asymptotic Dependence, Multivariate Extreme Value Theory, Structural Change Tests
Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence
File name: SSRN-id541022.
Capital controls, Exchange Rates, Extreme Value Theory, Exchange rate risk, Extreme quantiles
Capital controls; Exchange Rates; Interest differentials; Forward Premia
File name: DP6727.
Capital controls, Exchange Rates, Forward premia, Interest differentials, Monetary freedom
Skewness, Symmetry, Asymmetry, Ordering, Weibull, Distribution
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.516 seconds