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  • Search: subject:"Stepwise penalized ML estimation"
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Year of publication
Subject
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Conditional quantile 2 Copula 2 Financial contagion 2 Spill-over effect 2 Stepwise penalized ML estimation 2 Systemic risk 2 Tail dependence 2 Ansteckungseffekt 1 Contagion effect 1 Credit risk 1 Estimation 1 Estimation theory 1 Financial crisis 1 Finanzkrise 1 Kreditrisiko 1 Multivariate Verteilung 1 Multivariate distribution 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Risikomaß 1 Risk measure 1 Schätztheorie 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Systemrisiko 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Okhrin, Ostap 2 Ristig, Alexander 2 Sheen, Jeffrey R. 2 Trück, Stefan 2
Published in...
All
SFB 649 Discussion Paper 1 SFB 649 discussion paper 1
Source
All
ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011380687
Saved in:
Cover Image
Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
Saved in:
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