Dépendance non-monotone : Une application à la relation rendement-volume

The purpose of this paper is to provide a flexible parametric methodology to measure nonmonotone relationships between two variables. Indeed, in this context, the Pearson rho measure fails because it is only consistent for linear monotone dependence. Using the well-known return-volume relationship example, we illustrate how to estimate a joint distribution with nonmonotone dependence. Since our approach is parametric, the estimation and inference are easy to perform.