Multivariate crash risk

Published 2021 View Full Article

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Title
Multivariate crash risk
Authors
Keywords
Asset pricing, Nonlinear dependence, Crash aversion, Downside risk, Tail risk, Lower tail dependence, Copulas
Journal
JOURNAL OF FINANCIAL ECONOMICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2021-08-03
DOI
10.1016/j.jfineco.2021.07.016
References
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