Clustering of financial instruments using jump tail dependence coefficient

Chen Yang, Wenjun Jiang, Jiang Wu, Xin Liu, Zhichuan Li. Clustering of financial instruments using jump tail dependence coefficient. Statistical Methods and Applications, 27(3):491-513, 2018. [doi]

Authors

Chen Yang

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Wenjun Jiang

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Jiang Wu

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Xin Liu

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Zhichuan Li

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