Folded Bivariate Distributions as Models for Magnitude Correlation

Detalhes bibliográficos
Autor(a) principal: Afuecheta , Emmanuel
Data de Publicação: 2023
Outros Autores: Nadarajah , Saralees, Chan , Stephen
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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spelling 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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