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Nonlinear Bivariate Comovements of Asset Prices: Methodology, Tests and Applications

Author

Listed:
  • Marco Corazza

    ()

  • A. Malliaris

    ()

  • Elisa Scalco

    ()

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:kap:compec:v:35:y:2010:i:1:p:1-23
    DOI: 10.1007/s10614-009-9186-2
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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. Jouini, Elyes & Napp, Clotilde, 2003. "Comonotonic processes," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 255-265, April.
    4. repec:dau:papers:123456789/344 is not listed on IDEAS
    5. M. A. Kaboudan, 2000. "Genetic Programming Prediction of Stock Prices," Computational Economics, Springer;Society for Computational Economics, vol. 16(3), pages 207-236, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. 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.
    2. 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".
    3. 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.
    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).

    More about this item

    Keywords

    Comovement; Asset prices; Bivariate dependence; Non-linearity; t-Test; Polynomial approximation; Energy asset; (vanilla) European call and put options; Cross-Greeks; 41A10; 62J02; C59; G19; Q49;

    JEL classification:

    • C59 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Other
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other

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