Zhang, Qingzhao; Li, Deyuan; Wang, Hansheng - In: Journal of Multivariate Analysis 120 (2013) C, pp. 163-172
In financial practice, it is important to understand the dependence structure between the returns of individual assets and the market index. This is particularly true under extreme situations. Theoretically, this amounts to regressing the dependence relationship against a set of pre-specified...