A new measure of vector dependence, with applications to financial risk and contagion
Ivan Medovikov and Artem Prokhorov
| Year of publication: |
2017
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|---|---|
| Authors: | Medovikov, Ivan ; Prokhorov, Artem |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 3, p. 474-503
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| Subject: | copula | Hoeffding’s Phi-square | measures of vector dependence | nonparametric statistics | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Messung | Measurement | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbx015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987541