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Asymmetric dependence patterns in financial returns : an empirical investigation using local Gaussian correlation

Støve, Bård; Tjostheim, Dag - In: Essays in nonlinear time series econometrics, (pp. 307-329). 2014

Persistent link: https://www.econbiz.de/10010385834

Recognizing and visualizing copulas : an approach using local Gaussian approximation

Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance 57 (2014), pp. 90-103

Persistent link: https://www.econbiz.de/10010402717

Local Gaussian correlation : a new measure of dependence

Tjostheim, Dag; Hufthammer, Karl Ove - In: Journal of econometrics 172 (2013) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10009702320

Using local Gaussian correlation in a nonlinear re-examination of financial contagion

Støve, Bård; Tjostheim, Dag; Hufthammer, Karl Ove - In: Journal of empirical finance 25 (2014), pp. 62-82

Persistent link: https://www.econbiz.de/10010462084

Estimating and testing nonlinear local dependence between two time series

Lacal, Virginia; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 648-660

Persistent link: https://www.econbiz.de/10012179003

Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations

Sleire, Anders D.; Støve, Bård; Otneim, Håkon; … - In: Finance research letters 46 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013342680

On a New Measure of Covariation for Stable Random Variables

d’Estampes, Ludovic - 2018

We consider possible measures of dependence for two symmetric alpha-stable (SαS) random variables. Some results are given which enlighten a few deficiencies of these measures. We propose a new measure which partially solve these problems. The results are illustrated by simulations

Persistent link: https://www.econbiz.de/10012924670

The locally Gaussian partial correlation

Otneim, Håkon; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 924-936

Persistent link: https://www.econbiz.de/10013534580