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Keywords: Industry interdependency
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Journal Articles
Studies in Economics and Finance (2020) 37 (1): 50–70.
Published: 20 December 2019
... is that the interdependencies show a different pattern in tail events. This paper aims to investigate industry interdependency with the tail events. Design/methodology/approach General predictive model of Rapach et al. (2016) is extended to an interdependency model via least absolute shrinkage and selection...

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