Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence
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Volume (Year): 66 (2007)
Issue (Month): 3 (November)
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- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
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- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
- Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
- Taskinen, Sara & Oja, Hannu & Randles, Ronald H., 2005. "Multivariate Nonparametric Tests of Independence," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 916-925, September.
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