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  • Search: subject:"Quadrant correlation"
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ARCH model 1 ARCH-Modell 1 Correlation 1 Dynamic conditional correlation 1 Elliptical distributions 1 Estimation theory 1 Heavy tails 1 Heteroscedasticity 1 Heteroskedastizität 1 Korrelation 1 Quadrant correlation 1 Schätztheorie 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 binary response 1 endogenous dummy varible 1 orthant dependence 1 quadrant correlation 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Lee, Myoung-jae 1 Pelagatti, Matteo 1 Sbrana, Giacomo 1
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Econometric Reviews 1 Quantitative finance 1
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ECONIS (ZBW) 1 RePEc 1
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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Probability inequalities in multivariate distributions
Lee, Myoung-jae - In: Econometric Reviews 18 (1999) 4, pp. 387-415
quadrant correlation E{sgn(u1) *sgn(u2)} between the two error terms ul and u2 without specifjing the error term distribution …. The quadrant correlation accounts for the relationship between yl and y2 that is not explained by xl and x2, and can be … used in testing for the specification of endogenous dummy variable models. The quadrant correlation is further generalized …
Persistent link: https://www.econbiz.de/10005292340
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