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Estimating scale-invariant directed dependence of bivariate distributions · Study

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ArticleEstimating scale-invariant directed dependence of bivariate distributions

Robert R. Junker2020

Article2020

Estimating scale-invariant directed dependence of bivariate distributions

Robert R. Junker · Florian Griessenberger · Wolfgang Trutschnig

35 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Statistical Methods and Applications Complex Systems and Time Series Analysis

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References

2015Principles of Copula Theory 1981On Nonparametric Measures of Dependence for Random Variables 2007Enjoy the Joy of Copulas: With a Packagecopula 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets 2014Aggregation and the estimated effects of economic conditions on health 2011On a strong metric on the space of copulas and its induced dependence measure 2005copula: Multivariate Dependence with Copulas

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2021On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation 2022qad : An R‐package to detect asymmetric and directed dependence in bivariate samples

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2021On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimationarticle · 4 shared references 2019Copula theory and probabilistic sensitivity analysis: Is there a connection?article · 4 shared references 2020Copula modeling for discrete random vectorsarticle · 3 shared references 2008Measures of non-exchangeability for bivariate random vectorsarticle · 3 shared references 2021Copulae: An overview and recent developmentsarticle · 3 shared references 2022qad : An R‐package to detect asymmetric and directed dependence in bivariate samplesarticle · 3 shared references

Details

Year2020

Typearticle

Published2020-08-09

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2020.107058

openalex_workW3048149558

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