Single index based CoVaR with very high dimensional covariates

Wang, W., Fan, Y., Härdle, W.K. & Zhu, L. (2016). Single index based CoVaR with very high dimensional covariates. Journal of Business & Economic Statistics, doi: 10.1080/07350015.2016.1180990

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Item Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business & Economic Statistics on 27th April 2016, available online: http://www.tandfonline.com/10.1080/07350015.2016.1180990
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/15148

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