When analyzing a two-way contingency table, a preliminary question is often whether the categorical variables under study, say R and S, are independent or not. Suppose now that for each individual in the table, a continuous variable X is also known. It is then worth analyzing the table...

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...

Any dynamic decision model should be based on conditional objects and must refer to (not necessarily structured) domains containing only the elements and the information of interest. We characterize binary relations, defined on an arbitrary set of conditional events, which are representable by a...

We analyze tick-by-tick data, the most high frequency data available, of yen–dollar exchange rates with focus on the direction of up or down price movement. We propose a non-linear logit model to describe a non-trivial probability structure, apparently invisible from the price change itself,...