Global ETD Search
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Showing 1 to 2 of 2 for “"Extreme correlation"”.
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Essays on measuring systemic risk
… important banking institutions and exploring extreme equity price movements of euro area banking institutions. It consists three chapters focusing on U.S. and euro area banking institutions. Chapter 2 investigates the contribution and the exposure of banking institutions to systemic risk and …
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Three Essays in Applied Econometrics: with Application to Natural Resource and Energy Markets
… oil, crude oil/propane, crude oil/diese. The correlation coefficients implied by the dependence index estimates show that correlations conditional on threshold exceedance are generally higher than the unconditional correlation between crude oil/heating oil and crude oil/gasoline. However, …