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Publication Year:
2022
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5
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L. Mhalla
;
J. Hambuckers
;
M. Lambert
Extremal connectedness of hedge funds (replication data)
We propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value...
DOI:10.17889/jae.2022312.081230 [TEST]
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