Testing extreme dependence in financial time series

Chaudhuri, K orcid.org/0000-0002-7492-1369, Sen, R and Tan, Z (2018) Testing extreme dependence in financial time series. Economic Modelling, 73. pp. 378-394. ISSN 0264-9993



Copyright, Publisher and Additional Information: (c) 2018 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Economic Modelling. Uploaded in accordance with the publisher's self-archiving policy
Keywords: Financial dependence;; Residual and recurrence times; GARCH
  • Published: June 2018
  • Accepted: 29 April 2018
  • Published (online): 30 May 2018
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 14 May 2018 08:51
Last Modified: 30 May 2019 00:45
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.econmod.2018.04.016


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