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Local Gaussian correlation: A new measure of dependence

Citations

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Cited by:

  1. Wang, Ya & Fang, Linjiajie & Jing, Bingyi, 2024. "Adapted Chatterjee correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 215(C).
  2. Victor Chernozhukov & Iv'an Fern'andez-Val & Siyi Luo, 2018. "Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK," Papers 1811.11603, arXiv.org, revised Dec 2023.
  3. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
  4. Fousekis, Panos, 2024. "Relative prices and relative supplies in the UK beef meat industry: A wavelet cross-correlation analysis," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).
  5. Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  6. Ahmad Aghapour & Hamid Arian & Marcos Escobar-Anel & Luis Seco, 2025. "Conditional Correlation via Generalized Random Forests with Application to Hedge Funds," SN Operations Research Forum, Springer, vol. 6(3), pages 1-26, September.
  7. Bampinas, Georgios & Panagiotidis, Theodore, 2024. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," Research in International Business and Finance, Elsevier, vol. 70(PA).
  8. Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
  9. Villa-Loaiza, Carlos & Taype-Huaman, Irvin & Benavides-Franco, Julián & Buenaventura-Vera, Guillermo & Carabalí-Mosquera, Jaime, 2023. "Does climate impact the relationship between the energy price and the stock market? The Colombian case," Applied Energy, Elsevier, vol. 336(C).
  10. Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises: A local Gaussian correlation approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(12), pages 1179-1204, December.
  11. repec:rim:rimwps:20-19 is not listed on IDEAS
  12. Li, Dongxin & Zhang, Feipeng & Yuan, Di & Cai, Yuan, 2024. "Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 909-939.
  13. Davis, Richard & Drees, Holger & Segers, Johan & Warchol, Michal, 2018. "Inference on the tail process with application to financial time series modelling," LIDAM Discussion Papers ISBA 2018002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  14. Reinhold Heinlein & Gabriella D. Legrenzi & Scott Marc Romeo Mahadeo, 2025. "Exchange Rates and Sovereign Risk: a Nonlinear Approach Based on Local Gaussian Correlations," Economics Discussion Papers em-dp2025-03, Department of Economics, University of Reading.
  15. Heinlein, Reinhold & Legrenzi, Gabriella D. & Mahadeo, Scott M.R., 2021. "Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 223-229.
  16. Akimitsu Inoue, 2016. "Density estimation based on pointwise mutual information," Economics Bulletin, AccessEcon, vol. 36(2), pages 1138-1148.
  17. Tim Bollerslev & Jia Li & Andrew J. Patton & Rogier Quaedvlieg, 2020. "Realized Semicovariances," Econometrica, Econometric Society, vol. 88(4), pages 1515-1551, July.
  18. Lei Jiang & Esfandiar Maasoumi & Jiening Pan & Ke Wu, 2018. "A test of general asymmetric dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1026-1043, November.
  19. Hua He & Shuhui Cai & Yan Zhou, 2025. "RETRACTED ARTICLE: Unraveling the Interplay of Knowledge and Innovation in the Global Financial System: A Vine Copula Analysis of Sino-US Financial Risk Contagion," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(1), pages 1049-1077, March.
  20. Lars Arne Jordanger & Dag Tjøstheim, 2023. "Local Gaussian Cross-Spectrum Analysis," Econometrics, MDPI, vol. 11(2), pages 1-27, April.
  21. Otneim, Håkon & Karlsen, Hans Arnfinn & Tjøstheim, Dag, 2013. "Bias and bandwidth for local likelihood density estimation," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1382-1387.
  22. Ćmiel, Bogdan & Ledwina, Teresa, 2020. "Validation of association," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 55-67.
  23. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 62-82.
  24. Oona Rainio, 2022. "Different Coefficients for Studying Dependence," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 895-914, November.
  25. Bampinas, Georgios & Karfakis, Ioannis & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2026. "Stocks, currencies, and geopolitical shocks: Evidence from advanced and emerging markets," Economic Modelling, Elsevier, vol. 156(C).
  26. Jiang, Yong & Klein, Tony & Ren, Yi-Shuai & Dai, Jia-Hang, 2025. "Through the looking glass: Unveiling geopolitical risks and sovereign bond spillovers in the eurozone," International Review of Financial Analysis, Elsevier, vol. 103(C).
  27. Dimitrios Dimitriou & Dimitris Kenourgios & Theodore Simos & Alexandros Tsioutsios, 2025. "The implications of non‐synchronous trading in G‐7 financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 689-709, January.
  28. Nathan Lael Joseph & Thi Thuy Anh Vo & Asma Mobarek & Sabur Mollah, 2020. "Volatility and asymmetric dependence in Central and East European stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1241-1303, November.
  29. Tsioutsios, Alexandros & Yarovaya, Larisa & Dimitriou, Dimitrios, 2025. "Exploring portfolio diversification with alternative investments: An international TVP-VAR approach," Research in International Business and Finance, Elsevier, vol. 80(C).
  30. Tobias Fissler & Marc-Oliver Pohle, 2023. "Generalised Covariances and Correlations," Papers 2307.03594, arXiv.org, revised Sep 2023.
  31. Panos Fousekis, 2024. "Quantile coherency of futures prices in palm and soybean oil markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(1), pages 129-141, March.
  32. Otneim, Håkon & Tjøstheim, Dag, 2016. "Non-parametric estimation of conditional densities: A new method," Discussion Papers 2016/22, Norwegian School of Economics, Department of Business and Management Science.
  33. Lei Ming & Yao Shen & Shenggang Yang & Minyi Dong, 2022. "Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 722-750, April.
  34. Elie Bouri & Rangan Gupta & Shixuan Wang, 2019. "Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach," Working Papers 201917, University of Pretoria, Department of Economics.
  35. Otneim, Håkon & Jullum, Martin & Tjøstheim, Dag, 2020. "Pairwise local Fisher and naive Bayes: Improving two standard discriminants," Journal of Econometrics, Elsevier, vol. 216(1), pages 284-304.
  36. He, Yue & Tao, Miaomiao & Ren, Xiaohang, 2025. "U.S. interbank risk spillover network: Temporal dynamics and external shocks," Finance Research Letters, Elsevier, vol. 85(PB).
  37. Kristian Gundersen & Timothée Bacri & Jan Bulla & Sondre Hølleland & Antonello Maruotti & Bård Støve, 2024. "Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1012-1060, September.
  38. Elie Bouri & Rangan Gupta & Shixuan Wang, 2022. "Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2089-2109, April.
  39. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
  40. Ismail Adelopo & Xiaojun Luo, 2025. "Interconnectedness among cryptocurrencies and financial markets: a systematic literature review," Digital Finance, Springer, vol. 7(4), pages 1119-1171, December.
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