Systemic Risk Measurement: Multivariate GARCH Estimation of...

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Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

Girardi, Giulio, Ergun, A. Tolga
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Year:
2012
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1783958
File:
PDF, 382 KB
english, 2012
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