Extreme co-movements and extreme impacts in high frequency data in finance

Journal of Banking and Finance

Volumn 31, Issue 5, 2007, Pages 1399-1415

  Zhang, Zhengjun ^a   Shinki, Kazuhiko ^a  

^a University of Wisconsin   (United States)

Author keywords

Exchange rate; Extreme dependence; High frequency data

Indexed keywords

EID: 34147180502     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2006.10.019     Document Type: Article

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