ПОДРОБНАЯ ИНФОРМАЦИЯ
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2019/01/17
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Рабочий документ в рамках исследования вопросов политики
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WPS8709
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1
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1
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2019/01/17
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Disclosed
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A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
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test statistic; multivariate normal distribution; law of large number; market downturn; normal distribution with mean; equity return; extreme value theory; cumulative distribution function; risk measure; summary statistic; distribution of return; degrees of freedom; standard normal distribution; standard deviation; probability density function; measures of risk; method of moments; protection from risk; analysis of variance; result of change;... Подробнее
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