Local Gaussian correlation: A new measure of dependence

Journal of Econometrics

Volumn 172, Issue 1, 2013, Pages 33-48

  Tjostheim, Dag ^a   Hufthammer, Karl Ove ^a  

^a UNIVERSITY OF BERGEN   (Norway)

Author keywords

Dependence measures; Local correlation; Local dependence; Local likelihood

Indexed keywords

COMMERCE;

BIVARIATE; CORRELATION COEFFICIENT; DEPENDENCE MEASURES; GAUSSIAN CORRELATION; GAUSSIAN DENSITY; GAUSSIANS; LOCAL CORRELATIONS; LOCAL DEPENDENCE; LOCAL LIKELIHOOD; MARKET CRASH; MATHEMATICAL DESCRIPTIONS;

GAUSSIAN DISTRIBUTION;

EID: 84869138633     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.08.001     Document Type: Article

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