Verifying the R�nyi dependence axioms for a non-linear bivariate comovement index

Marco Corazza () and Elisa Scalco ()
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Elisa Scalco: DBRS Ratings Limited

No 2015:11, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: In a recent paper, a simple index able to evaluate 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 R�nyi that a measure of dependence should meet. Further, in the cases in which the index does not fulfil an axiom, we propose a weakened version of the original statement that the index satisfies.

Keywords: Random variables; non-linear bivariate comovement; R�nyi dependence axioms. (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Pages: 16
Date: 2015
New Economics Papers: this item is included in nep-ore
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