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Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects |
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| Authors: | Wan‐Chien Chiu Juan Ignacio Peña Chih‐Wei Wang |
| Affiliation: | 1. Department of Business Administration, Universidad Carlos III de Madrid, 28903 Getafe, Madrid, Spain;2. Chinese Academy of Finance and Development, Central University of Finance and Economics, Haidian District, Beijing, China |
| Abstract: | |
| Keywords: | systemic risk tail dependence effects correlated jumps predictability |