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On monitoring financial stress index with extreme value theory. (2012). Limam, Mohamed ; el Ghourabi, Mohamed ; Dridi, Amira .
In: Quantitative Finance.
RePEc:taf:quantf:v:12:y:2012:i:3:p:329-339.

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  1. Early warning systems using dynamic factor models: An application to Asian economies. (2022). Sheen, Jeffrey ; Truck, Stefan ; Villafuerte, James ; Truong, Chi.
    In: Journal of Financial Stability.
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  2. Evaluating measures of adverse financial conditions. (2016). Oet, Mikhail ; Sarlin, Peter ; Gramlich, Dieter.
    In: Journal of Financial Stability.
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  3. A new financial stress index model based on support vector regression and control chart. (2015). Limam, Mohamed ; el Ghourabi, Mohamed ; Dridi, Amira .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:42:y:2015:i:4:p:775-788.

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  4. Early warning systems for currency crises: A multivariate extreme value approach. (2013). Kouwenberg, Roy ; Cumperayot, Phornchanok.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:151-171.

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