Exploring local dependence

Abberger, Klaus

Exploring local dependence

Dateien

02-14.pdfGröße: 877.68 KBDownloads: 302

Datum

2002

Autor:innen

Abberger, Klaus

Schriftenreihe

CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie

URI (zitierfähiger Link)

http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-8391

Link zur Lizenz

Urheberrechtlich geschützt

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

This paper discusses two graphical methods for the investigation of local association of two continuous random variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two variables. However, dependence graphs have the potential to assess a far richer class of bivariate dependence structures. The two graphical methods discussed in this article are the chi-plot and the local dependence map. After the introduction of these methods they are applied to di®erent data sets. These data sets contain simulated data and daily stock return series. With these examples the application possibilities of the two local dependence graphs are shown.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Association, bivariate distribution, chi-plot, copula, correlation, kernel smoothing, local dependence, permutation test

Zitieren

ISO 690

ABBERGER, Klaus, 2002. Exploring local dependence

BibTex

@techreport{Abberger2002Explo-11979,
  year={2002},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Exploring local dependence},
  number={2002/14},
  author={Abberger, Klaus}
}

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