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  • Search: subject:"conditional Spearman's rho"
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Year of publication
Subject
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Monte Carlo simulation 2 bear market 2 bootstrapping 2 bull market 2 conditional Spearman's rho 2 copulas 2 stock returns 2 accelerated failure time model 1 association 1 clustered failure times 1 conditional spearman rho 1 global cross-ratio 1 multivariate survival data 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 1
Language
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English 2 Undetermined 1
Author
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Dobrić, Jadran 2 Frahm, Gabriel 2 Schmid, Friedrich 2 Ghosh, Debashis 1
Institution
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Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 1
Published in...
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Discussion Papers in Econometrics and Statistics 1 Discussion Papers in Statistics and Econometrics 1 International Journal of Biostatistics 1
Source
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RePEc 2 EconStor 1
Showing 1 - 3 of 3
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Dependence of stock returns in bull and bear markets
Dobrić, Jadran; Frahm, Gabriel; Schmid, Friedrich - 2007
misspecification. We derive hypothesis tests for the conditional Spearman's rho in bull andbearmarkets and verify the tests by Monte …
Persistent link: https://www.econbiz.de/10010304417
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Cover Image
Dependence of stock returns in bull and bear markets
Dobrić, Jadran; Frahm, Gabriel; Schmid, Friedrich - Seminar für Wirtschafts- und Sozialstatistik, … - 2007
misspecification. We derive hypothesis tests for the conditional Spearman's rho in bull andbearmarkets and verify the tests by Monte …
Persistent link: https://www.econbiz.de/10009019646
Saved in:
Cover Image
On the Plackett Distribution with Bivariate Censored Data
Ghosh, Debashis - In: International Journal of Biostatistics 4 (2008) 1, pp. 1099-1099
In the analysis of dependence of bivariate correlated failure time data, a popular model is a gamma frailty model proposed by Clayton and Oakes. An alternative approach is using a Plackett distribution, whose dependence parameter has a very appealing odds ratio interpretation for dependence...
Persistent link: https://www.econbiz.de/10005246586
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