Quantile correlation coefficient: a new tail dependence measure
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DOI: 10.1007/s00362-021-01268-7
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- Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
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Keywords
Quantile correlation; Quantile regression; Tail dependence; Conditional quantile; Financial crisis;All these keywords.
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