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Uniform Inference and Certified Capacity at a Reflexive Stability Boundary

Dominguez, Alejandro Rodriguez
arXiv (All) · Papers
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15a1865g2091g15portfolio-management
This paper develops uniform inference and certified capacity decisions for an estimated financial stability boundary. Conditional risk, temporary cross-impact, and effective risk-bearing capacity are jointly estimated from dependent observations. Conventional pointwise inference is reliable at a sep
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