Souhir Ben Amor

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

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FRM Financial Risk Meter for Emerging Markets

Number of pages: 47 Posted: 16 Feb 2021
Souhir Ben Amor, Michael Althof and Wolfgang Karl Härdle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Blockchain Research Center Humboldt-Universität zu Berlin
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Abstract:

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FRM (Financial Risk Meter), Lasso Quantile Regression, Network Dynamics, Emerging Markets, Hierarchical Risk Parity