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

Marco Corazza (), Elisa Scalco () and Claudio Pizzi ()
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Marco Corazza: Ca’ Foscari University of Venice
Claudio Pizzi: Ca’ Foscari University of Venice

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 168-174 from Springer

Abstract: 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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_28

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DOI: 10.1007/978-3-030-99638-3_28

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