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15-118/III - Exploiting Spillovers to forecast Crashes


  • Authors
    Francine Gresnigt, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
  • Publication date
    October 23, 2015
  • Keywords
    Hawkes processes, extremal dependence, Value-at-Risk, financial crashes, spillover
  • JEL
    G01, G17