Sukcharoen, Kunlapath; Leatham, David J. - In: Studies in Economics and Finance 33 (2016) 1, pp. 26-49
(including the same-direction and cross-tail dependence coefficients) to explore sector diversification opportunities. The paper … traditional dependence measures suggest that benefits for sector diversification have decreased over all sample periods, while the … potential for sector diversification during extreme events has just started to disappear in the most recent period. Practical …