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Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index

Author

Listed:
  • Marco Corazza

    (Department of Economics, Ca� Foscari University of Venice)

  • Elisa Scalco

    (DBRS Ratings Limited)

Abstract

In a recent paper, a simple index able to evaluate the non-linear bivariate comovement between two asset prices has been proposed. In this paper we assess if that index satisfies the classical seven axioms formulated by R�nyi that a measure of dependence should meet. Further, in the cases in which the index does not fulfil an axiom, we propose a weakened version of the original statement that the index satisfies.

Suggested Citation

  • Marco Corazza & Elisa Scalco, 2015. "Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index," Working Papers 2015:11, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2015:11
    as

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    References listed on IDEAS

    as
    1. Wei, Wang & Yatracos, Yannis, 2004. "A stop-loss risk index," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 241-250, April.
    2. repec:dau:papers:123456789/343 is not listed on IDEAS
    3. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
    4. Rui Menezes & Andreia Dionísio & Hossein Hassanic, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
    5. Marco Corazza & A. Malliaris & Elisa Scalco, 2010. "Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications," Computational Economics, Springer;Society for Computational Economics, vol. 35(1), pages 1-23, January.
    6. Jouini, Elyes & Napp, Clotilde, 2003. "Comonotonic processes," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 255-265, April.
    7. Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Random variables; non-linear bivariate comovement; R�nyi dependence axioms.;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

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    This paper has been announced in the following NEP Reports:

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