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Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

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Author Info
Andrew Patton
Yanqin Fan
Xiaohong Chen

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File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp04-19.pdf
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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp04-19.

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Date of creation: 2004
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Handle: RePEc:wbs:wpaper:wp04-19

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