Fragility index of block tailed vectors
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability. Multivariate extreme value theory provide us such a framework thro...
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| Format: | article |
| Language: | eng |
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2012
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| Online Access: | http://hdl.handle.net/1822/18974 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/18974 |