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.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Corazza, M., Malliaris, A.G., Scalco, E.: Nonlinear bivariate comovements of asset prices: methodology, tests and applications. Comput. Econ. 35, 1–23 (2010)
Embrechts, P., McNeil, A., Straumann, D.: Correlation and dependency in risk management: properties and pitfalls. In: Dempster, M., Moffatt, H. (eds.) Risk Management: Value at Risk and Beyond. Cambridge University Press, Cambridge (2002)
Hutchinson, T.P., Lai, C.D.: Continuous Bivariate Distributions, Emphasising Applications. Rumsby Scientific Publishing (1990)
Jouini, E., Napp, C.: Comonotonic processes. Insur. Math. Econom. 32, 255–265 (2003)
Rényi, A.: On measures of dependence. Acta Math. Acad. Sci. Hung. 10, 441–451 (1959)
Szegö, G.: Measures of risk. Eur. J. Oper. Res. 163, 5–19 (2005)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2022 The Author(s), under exclusive license to Springer Nature Switzerland AG
About this paper
Cite this paper
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
Download citation
DOI: https://doi.org/10.1007/978-3-030-99638-3_28
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-99637-6
Online ISBN: 978-3-030-99638-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)