2,113
Views
45
CrossRef citations to date
0
Altmetric
Theory and Methods

Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond

, &
Pages 1239-1252 | Received 01 May 2011, Published online: 08 Oct 2012

REFERENCES

  • Asher , D. L. 1996 . “What Became of the Japanese ‘Miracle’,” . ORBIS , 40 : 215 – 234 .
  • Bergsten , C. F. 1982 . “What to do About the US-Japan Economic Conflict?” . Foreign Affairs , 60 : 1059 – 1075 .
  • Bulgren , W. G. , Dykstra , R. L. and Hewett , J. E. 1974 . “A Bivariate t-Distribution With Applications,” . Journal of the American Statistical Association , 69 : 525 – 532 .
  • Doksum , K. , Blyth , S. , Bradlow , E. , Meng , X. L. and Zhao , H. Y. 1994 . “Correlation Curves as Local Measures of Variance Explained by Regression,” . Journal of the American Statistical Association , 89 : 571 – 582 .
  • Doksum , K. and Samarov , A. 1995 . “Nonparametric Estimation of Global Functions and a Measure of the Explanatory Power of Covariates in Regressions,” . The Annals of Statistics , 23 : 1443 – 1473 .
  • Drouet-Mari , D. and Kotz , S. 2001 . Correlation and Dependence , London : Imperial College Press .
  • Fan , J. and Yao , Q. 1998 . “Efficient Estimation of Conditional Variance Functions in Stochastic Regression,” . Biometrika , 85 : 645 – 660 .
  • Filzmoser , P. , Maronna , R. and Werner , M. 2008 . “Outlier Identification in High Dimensions,” . Computational Statistics and Data Analysis , 52 : 1694 – 1711 .
  • Granger , C. 1969 . “Investigating Causal Relations by Econometric Methods and Cross-Spectral Methods,” . Econometrica , 34 : 424 – 438 .
  • Griswold , D. T. 1998 . America's Maligned and Misunderstood Trade Deficit , Washington , DC : Cato Institute, Center for Trade Policy Studies .
  • Hansen , B. E. 2004 . “Nonparametric Conditional Density Estimation,” . unpublished manuscript, University of Wisconsin
  • Holland , P. W. and Wang , Y. J. 1987 . “Dependence Function for Continuous Bivariate Densities,” . Communications in Statistics A , 16 : 863 – 876 .
  • Hong , Y. , Tu , J. and Zhou , G. 2007 . “Asymmetric Correlation of Stock Returns: Statistical Tests and Economic Evaluation,” . Review of Financial Studies , 20 : 1547 – 1581 .
  • Hotelling , H. 1953 . “New Light on the Correlation Coefficient and Its Transform,” . Journal of the Royal Statistical Society , Series B ( 15 ) : 193 – 232 .
  • Joe , H. 1997 . Multivariate Models and Dependence Concepts , London : Chapman & Hall .
  • Jones , M. C. 1996 . “The Local Dependence Function,” . Biometrika , 83 ( 4 ) : 899 – 904 .
  • Little , R. J. A. and Rubin , D. B. 1987 . Statistical Analysis With Missing Data , New York : Wiley .
  • Liu , J. S. 1994 . “Fraction of Missing Information and Convergence Rate of Data Augmentation,” . In Computationally Intensive Statistical Methods: Proceedings of the 26th Symposium on the Interface , Edited by: Small , J. and Lehman , A. 490 – 497 . Fairfax Station , VA : Interface Foundation of North America .
  • Nadaraya , E. A. 1989 . Nonparametric Estimation of Probability Densities and Regression Curves , Dordrecht : Kluwer .
  • O’Grady , K. E. 1982 . “Measures of Explained Variance: Cautions and Limitations,” . Psychological Bulletin , 92 : 766 – 777 .
  • Ozer , D. J. 1985 . “Correlation and Coefficient of Determination,” . Psychological Bulletin , 97 : 307 – 315 .
  • Patil , S. A. and Liao , S. H. 1970 . “The Distribution of the Ratios of Means to the Square Root of the Sum of Variances of a Bivariate Normal Sample,” . The Annals of Mathematical Statistics , 41 ( 2 ) : 723 – 728 .
  • Rodgers , J. L. and Nicewander , W. A. 1988 . “Thirteen Ways to Look at the Correlation Coefficient,” . The American Statistician , 42 : 59 – 66 .
  • Sain , S. R. , Baggerly , K. A. and Scott , D. W. 1994 . “Cross-Validation of Multivariate Densities,” . Journal of the American Statistical Association , 89 : 807 – 817 .
  • Siddiqui , M. M. 1967 . “A Bivariate t Distribution,” . The Annals of Mathematical Statistics , 38 : 162 – 166 .
  • Wang , Z. Q. 2001 . Statistical Analysis of Nonlinear Granger Causality , Master dissertation, the Chinese Academy of Sciences (in Chinese) .
  • Zhang , Z. 2008 . “Quotient Correlation: A Sample Based Alternative to Pearson's Correlation,” . The Annals of Statistics , 36 : 1007 – 1030 .
  • Zhang , Z. 2009 . “On Approximating Max-Stable Processes and Constructing Extremal Copula Functions,” . Statistical Inference for Stochastic Processes , 12 : 89 – 114 .
  • Zhang , Z. , Qi , Y. and Ma , X. 2011 . “Asymptotic Independence of Correlation Coefficients With Application to Testing Hypothesis of Independence,” . Electronic Journal of Statistics , 5 : 342 – 372 .
  • Zhang , Z. and Shinki , K. 2006 . “Extreme Co-Movements and Extreme Impacts in High Frequency Data in Finance,” . Journal of Banking and Finance , 31 : 1399 – 1415 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.