Article detail · 2011
Functions of Concordance and Dependence with Related Measures
Communications in Statistics - Theory and Methods
YÖKSİS
OpenAlex
SJR Q3
JCR Q4
Citations 0
Percentile 15.4%
FWCI 0.0
- Year
- 2011
- ISSN
0361-0926- Type
- article
Data source split
- YÖKSİS YÖKSİS article record
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
English (OpenAlex)
Some functions that serve as building blocks for construction of a wider range of modes of concordance and dependence are pointed. We probe into interplays of such modes. From the standpoint of their conformity to stochastic dominance ordering of distributions within a Fréchet class, all such derived modes display some parallelism under certain conditions. We finally suggest a novel numeric measure of dependence that covers similar existing measures in literature.
Topics
- Financial Risk and Volatility Modeling
- Statistical Distribution Estimation and Applications
- Probability and Risk Models
Primary topic Financial Risk and Volatility Modeling