Local Gaussian correlation: a new measure of dependence
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Publication:528115
DOI10.1016/j.jeconom.2012.08.001zbMath1443.62288OpenAlexW2080081864MaRDI QIDQ528115
Karl Ove Hufthammer, Dag Tjøstheim
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001741
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Uses Software
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