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Central European Journal of Economic Modelling and Econometrics Detecting Risk Transfer in Financial Markets using Different Risk Measures

by Marcin Fałdziński, Magdalena Osińska, Tomasz Zdanowicz, Marcin Fałdziński, Et Al
"... High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic ..."
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High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly
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