Search Results - subject:"Directional dependence"

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Finding hidden structure of sparse longitudinal data via functional eigenfunctions

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics letters 31 (2024) 12, pp. 1142-1149

Persistent link: https://www.econbiz.de/10014558735

Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072

A copula nonlinear Granger causality

Kim, Jong-Min; Lee, Namgil; Hwang, Sun Young - In: Economic modelling 88 (2020), pp. 420-430

Persistent link: https://www.econbiz.de/10012417258

Directional time-varying partial correlation with the Gaussian copula-DCC-GARCH model

Kim, Jong-Min; Jung, Hojin - In: Applied economics 50 (2018) 41, pp. 4418-4426

Persistent link: https://www.econbiz.de/10012061173

Complex model of market price development and its simulation

Stádník, Bohumil; Miečinskiene, Algita - In: Journal of business economics and management 16 (2015) 4, pp. 786-807

Persistent link: https://www.econbiz.de/10011384542

The puzzle of financial market distribution

Stádník, Bohumil - In: Ekonomický časopis : časopis pre ekonomickú … 62 (2014) 7, pp. 709-727

Persistent link: https://www.econbiz.de/10010415702

A new index to measure positive dependence in trivariate distributions

García, Jesús E.; González-López, V.A.; Nelsen, R.B. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 481-495

the coefficients of directional dependence over the set of directions. We show how to calculate the index using the three … distributions of the empirical processes related to the estimators of the coefficients of directional dependence and also we derive …

Persistent link: https://www.econbiz.de/10011042037

Directional dependence in multivariate distributions

Nelsen, Roger; Úbeda-Flores, Manuel - In: Annals of the Institute of Statistical Mathematics 64 (2012) 3, pp. 677-685

Persistent link: https://www.econbiz.de/10011000067