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Keywords: Extreme correlation
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Journal Articles
Dependence and extreme correlation among US industry sectors
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2016) 33 (1): 26–49.
Published: 07 March 2016
...Kunlapath Sukcharoen; David J. Leatham Purpose – The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors. Design/methodology/approach – This paper makes use of both conventional measures of dependence...
