Multi-Market Direction-of-Change Modeling Using Dependence Ratios

DOI10.2202/1558-3708.1532zbMath1193.91166OpenAlexW1974369590MaRDI QIDQ3574740

Stanislav Anatolyev

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1532

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (3)

A non-linear forecast combination procedure for binary outcomes ⋮ Construction of leading economic index for recession prediction using vine copulas ⋮ Multivariate Return Decomposition: Theory and Implications

This page was built for publication: Multi-Market Direction-of-Change Modeling Using Dependence Ratios