Folded Bivariate Distributions as Models for Magnitude Correlation
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | https://doi.org/10.57805/revstat.v21i1.395 |
Resumo: | The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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Folded Bivariate Distributions as Models for Magnitude Correlationestimationmagnitude correlation of stock returnsvalue at riskThe concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions.Statistics Portugal2023-05-26info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://doi.org/10.57805/revstat.v21i1.395https://doi.org/10.57805/revstat.v21i1.395REVSTAT-Statistical Journal; Vol. 21 No. 1 (2023): REVSTAT-Statistical Journal; 21-38REVSTAT; Vol. 21 N.º 1 (2023): REVSTAT-Statistical Journal; 21-382183-03711645-6726reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAPenghttps://revstat.ine.pt/index.php/REVSTAT/article/view/395https://revstat.ine.pt/index.php/REVSTAT/article/view/395/626Copyright (c) 2021 REVSTAT-Statistical Journalinfo:eu-repo/semantics/openAccessAfuecheta , EmmanuelNadarajah , SaraleesChan , Stephen2023-05-27T06:30:13Zoai:revstat:article/395Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:56:25.557340Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Folded Bivariate Distributions as Models for Magnitude Correlation |
title |
Folded Bivariate Distributions as Models for Magnitude Correlation |
spellingShingle |
Folded Bivariate Distributions as Models for Magnitude Correlation Afuecheta , Emmanuel estimation magnitude correlation of stock returns value at risk |
title_short |
Folded Bivariate Distributions as Models for Magnitude Correlation |
title_full |
Folded Bivariate Distributions as Models for Magnitude Correlation |
title_fullStr |
Folded Bivariate Distributions as Models for Magnitude Correlation |
title_full_unstemmed |
Folded Bivariate Distributions as Models for Magnitude Correlation |
title_sort |
Folded Bivariate Distributions as Models for Magnitude Correlation |
author |
Afuecheta , Emmanuel |
author_facet |
Afuecheta , Emmanuel Nadarajah , Saralees Chan , Stephen |
author_role |
author |
author2 |
Nadarajah , Saralees Chan , Stephen |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Afuecheta , Emmanuel Nadarajah , Saralees Chan , Stephen |
dc.subject.por.fl_str_mv |
estimation magnitude correlation of stock returns value at risk |
topic |
estimation magnitude correlation of stock returns value at risk |
description |
The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-05-26 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://doi.org/10.57805/revstat.v21i1.395 https://doi.org/10.57805/revstat.v21i1.395 |
url |
https://doi.org/10.57805/revstat.v21i1.395 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://revstat.ine.pt/index.php/REVSTAT/article/view/395 https://revstat.ine.pt/index.php/REVSTAT/article/view/395/626 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2021 REVSTAT-Statistical Journal info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2021 REVSTAT-Statistical Journal |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Statistics Portugal |
publisher.none.fl_str_mv |
Statistics Portugal |
dc.source.none.fl_str_mv |
REVSTAT-Statistical Journal; Vol. 21 No. 1 (2023): REVSTAT-Statistical Journal; 21-38 REVSTAT; Vol. 21 N.º 1 (2023): REVSTAT-Statistical Journal; 21-38 2183-0371 1645-6726 reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799131638975692800 |