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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
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Chen, Xiaohong, 1965-, Fan, Yanqin and Patton, Andrew J. (Andrew John), 1976- (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
| Item Type: | Working or Discussion Paper (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
| Library of Congress Subject Headings (LCSH): | Time-series analysis, Copulas (Mathematical statistics), Dependence (Statistics), Foreign exchange rates -- United States, Equity -- United States |
| Series Name: | Working papers (Warwick Business School. Financial Econometrics Research Centre) |
| Publisher: | Warwick Business School, Financial Econometrics Research Centre |
| Place of Publication: | Coventry |
| Date: | July 2004 |
| Number: | No.04- |
| Number of Pages: | 41 |
| Status: | Not Peer Reviewed |
| Access rights to Published version: | Open Access |
| Description: | First version, May 2003; this version July 2004 |
| Funder: | National Science Foundation (U.S.) (NSF), Institute of Asset Management (IAM) |
| URI: | http://wrap.warwick.ac.uk/id/eprint/1781 |
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