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Journal of Business & Economic Statistics Volume 37, 2019 - Issue 4
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Original Articles

Estimating and Testing Nonlinear Local Dependence Between Two Time Series

Virginia Lacala Allianz Insurance, Rome, Italy ([email protected])
&
Dag Tjøstheimb Department of Mathematics, University of Bergen, Post box 7802, 5020Bergen, Norway ([email protected])
Pages 648-660 | Received 01 May 2016, Published online: 29 Oct 2018

Citations (18)

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Read on this site (3)

Håkon Otneim & Dag Tjøstheim. (2022) The Locally Gaussian Partial Correlation. Journal of Business & Economic Statistics 40:2, pages 924-936.
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Lars Arne Jordanger & Dag Tjøstheim. (2022) Nonlinear Spectral Analysis: A Local Gaussian Approach. Journal of the American Statistical Association 117:538, pages 1010-1027.
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Di Yuan, Feipeng Zhang, Fenghui Cui & Shuo Wang. (2021) Oil and BRIC Stock Markets before and after COVID-19: A Local Gaussian Correlation Approach. Emerging Markets Finance and Trade 57:6, pages 1592-1602.
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Articles from other publishers (17)

Kristian Gundersen, Timothée Bacri, Jan Bulla, Sondre Hølleland, Antonello Maruotti & Bård Støve. (2024) Testing for time‐varying nonlinear dependence structures: Regime‐switching and local Gaussian correlation. Scandinavian Journal of Statistics.
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Georgios Bampinas & Theodore Panagiotidis. (2024) How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?. Research in International Business and Finance 70, pages 102272.
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Dongxin Li, Feipeng Zhang, Di Yuan & Yuan Cai. (2024) Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries. International Review of Economics & Finance 89, pages 909-939.
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Chen Tao, Guang-Yan Zhong & Jiang-Cheng Li. (2023) Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives. Physica A: Statistical Mechanics and its Applications 614, pages 128558.
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Dag Tjøstheim, Håkon Otneim & Bård Støve. (2022) Statistical Dependence: Beyond Pearson’s ρ. Statistical Science 37:1.
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Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 403 428 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 385 401 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 353 383 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 261 299 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 213 260 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 161 212 .
Dag Tjøstheim, Håkon Otneim & Bård Støve. 2022. Statistical Modeling Using Local Gaussian Approximation. Statistical Modeling Using Local Gaussian Approximation 87 134 .
Ji-Eun Choi & Dong Wan Shin. (2020) Nonparametric estimation of time varying correlation coefficient. Journal of the Korean Statistical Society 50:2, pages 333-353.
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Quynh Nga Nguyen, Sofiane Aboura, Julien Chevallier, Lyuyuan Zhang & Bangzhu Zhu. (2020) Local Gaussian correlations in financial and commodity markets. European Journal of Operational Research 285:1, pages 306-323.
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Håkon Otneim, Martin Jullum & Dag Tjøstheim. (2020) Pairwise local Fisher and naive Bayes: Improving two standard discriminants. Journal of Econometrics 216:1, pages 284-304.
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Youjin Lee, Cencheng Shen, Carey E Priebe & Joshua T Vogelstein. (2019) Network dependence testing via diffusion maps and distance-based correlations. Biometrika 106:4, pages 857-873.
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Dag Tjøstheim. (2019) Discussion of Models as Approximations I & II. Statistical Science 34:4.
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