Applying bootstrap tests to 2016-2022 daily returns, the authors classify U.S. and Chinese stock pairs by extremal dependence and find China more interconnected, with strong U.S.-China links in consumer and materials sectors.
The bootstrap sample size is taken as m = m(n)= o(n) following Athreya (1987); Gin´ e and Zinn (1989); Feigin and Resnick (1997); Resnick (2007)
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Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
Applying bootstrap tests to 2016-2022 daily returns, the authors classify U.S. and Chinese stock pairs by extremal dependence and find China more interconnected, with strong U.S.-China links in consumer and materials sectors.