Hawkes process; CoVaR; quantile regression; contagion; systemic risk
Tetereva, A.
hdl.handle.net/2105/56937
Econometrie
Erasmus School of Economics

Klink, D.W. van. (2021, March). Hawkes process approach to estimating CoVaR. Econometrie. Retrieved from http://hdl.handle.net/2105/56937