Faculty of Economics - Finance Department
P.O. Box 616
6200 MD Maastricht
University of Maastricht - Limburg Institute of Financial Economics (LIFE)
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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.
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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
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