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Keywords: Time-varying dependence structure
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Journal Articles
Time-varying dependence and currency tail risk during the Covid-19 pandemic
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (5): 839–858.
Published: 18 July 2023
.... (2006) . In general, disregarding these facts could be misleading from the point of view of risk assessment and could lead to incorrect inferences. In literature, many papers have studied specific models with time-varying dependence structure also based on regime switching: among others, see Tse...
