Exceedance Correlation Tests for Financial Returns-Reference-Cited by-同舟云学术

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Exceedance Correlation Tests for Financial Returns

Published:2015-07-23 Issue:3 Volume:14 Page:581-616
ISSN:1479-8409
Container-title:Journal of Financial Econometrics
language:en
Short-container-title:JOURNAL OF FINANCIAL ECONOMETRICS

Author:

Chen Yi-Ting

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Link

http://academic.oup.com/jfec/article-pdf/14/3/581/6820343/nbv016.pdf

Reference31 articles.

1. Anderson T. W. 1984. An Introduction to Multivariate Statistical Analysis. New York, NY: John Wiley & Sons.

2. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

3. International Asset Allocation With Regime Shifts

4. Asymmetric correlations of equity portfolios

5. Multivariate truncated moments

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Testing for Asymmetric Comovements*;Oxford Bulletin of Economics and Statistics;2022-01-30

2. Bibliography;Portfolio Diversification;2017

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