Browsing Working papers (SNF) by Author "Tjøstheim, Dag"
Now showing items 1-2 of 2
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Measuring asymmetries in financial returns : an empirical investigation using local gaussian correlation
Støve, Bård; Tjøstheim, Dag (Working paper;12/13, Working paper, 2013-03)A number of studies have provided evidence that financial returns exhibit asymmetric dependence, such as increased dependence during bear markets, but there seems to be no agreement as to how such asymmetries should be ... -
Recognizing and visualizing copulas : an approach using local Gaussian approximation
Berentsen, Geir Drage; Støve, Bård; Tjøstheim, Dag; Nordbø, Tommy (Working paper;12/12, Working paper, 2012-06)Copulas are much used to model nonlinear and non-Gaussian dependence between stochastic variables. Their functional form is determined by a few parameters, but unlike a dependence measure like the correlation, these ...