Folded Bivariate Distributions as Models for Magnitude Correlation
Keywords:estimation, magnitude correlation of stock returns, value at risk
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.
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