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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, 36(2), pp. 212-226. doi: 10.1080/07350015.2016.1180990

Publication 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
Departments: School of Policy & Global Affairs > Economics
SWORD Depositor:
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