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Using simulated currency rainbow options to evaluate covariance matrix forecasts

. Journal of International Financial Markets, Institutions and Money, 12 (3): 216--230 (July 2002)

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The market's view on the probability of banking sector failure: cross-country comparisons. Journal of International Financial Markets, Institutions and Money, 14 (5): 419--438 (December 2004)Managing extreme risks in tranquil and volatile markets using conditional extreme value theory. International Review of Financial Analysis, 13 (2): 133--152 (00 2004)Using simulated currency rainbow options to evaluate covariance matrix forecasts. Journal of International Financial Markets, Institutions and Money, 12 (3): 216--230 (July 2002)