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Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index

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Abstract

In a paper appeared some years ago, an index for evaluating the non-linear bivariate comovement between two asset prices has been proposed. In this paper, we assess if that index satisfies the classical seven axioms formulated by Rényi that a measure of dependence should meet. In the cases in which the index does not fulfil an axiom, we propose a weakened version of that statement the index satisfies.

E. Scalco—Independent.

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References

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Correspondence to Marco Corazza .

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Corazza, M., Scalco, E., Pizzi, C. (2022). Verifying the Rényi Dependence Axioms for a Non-linear Bivariate Comovement Index. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_28

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