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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
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A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
-
2019
-mean-square error. More importantly, this paper develops a series of test statistics to measure and test
correlation
asymmetries
, as …
Persistent link: https://www.econbiz.de/10012004764
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