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Journal of Econometrics 2016 / 6

Tail dependence measure for examining financial extreme co-movements

Asimit, Alexandru V., Gerrard, Russell, Hou, Yanxi, Peng, Liang
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Language:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2016.05.011
Date:
June, 2016
File:
PDF, 1.13 MB
english, 2016
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