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.
(Other approaches to handle asymptotic independence can be found in (Lehtomaa and Resnick 2020; Resnick 2024).) Assuming an iid sample Z1,
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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.