Keywords: Fixed effects
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Journal Articles
Journal of Risk Finance (2015) 16 (4): 395–406.
Published: 17 August 2015
...Harald Kinateder Purpose – The paper aims to analyse the drivers of changes in European equity tail risk. Design/methodology/approach – For this purpose, the paper uses a panel data model with fixed effects based on five explanatory variables including the VIX, the variance risk premium...

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