Chen, Xiaohong, Fan, Yanqin and Patton, Andrew J. (2004) Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

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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
Official Date:	July 2004
Dates:	Date Event July 2004 Published
Number:	No.04-
Number of Pages:	41
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access (Creative Commons)
Description:	First version, May 2003; this version July 2004
Funder:	National Science Foundation (U.S.) (NSF), Institute of Asset Management (IAM)

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