Forthcoming

Folded Bivariate Distributions as Models for Magnitude Correlation

Accepted - June 2021

Authors

Keywords:

estimation, magnitude correlation of stock returns, value at risk

Abstract

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.

Published

2021-06-05

How to Cite

Afuecheta , E., Nadarajah , S., & Chan , S. (2021). Folded Bivariate Distributions as Models for Magnitude Correlation: Accepted - June 2021. REVSTAT-Statistical Journal. Retrieved from https://revstat.ine.pt/index.php/REVSTAT/article/view/395

Issue

Section

Forthcoming Paper