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Keywords: Sector diversification
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Journal Articles
Dependence and extreme correlation among US industry sectors
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2016) 33 (1): 26–49.
Published: 07 March 2016
... (the Pearson’s correlation coefficient, Spearman’s rho and Kendall’s tau) and copula measures of extreme correlations (including the same-direction and cross-tail dependence coefficients) to explore sector diversification opportunities. The paper splits the full sample in three periods, namely, 1995 to 2000...
