Folded Bivariate Distributions as Models for Magnitude Correlation

Emmanuel Afuecheta; Saralees Nadarajah; Stephen Chan

doi:10.57805/revstat.v21i1.395

Folded Bivariate Distributions as Models for Magnitude Correlation

Emmanuel Afuecheta, Saralees Nadarajah, Stephen Chan^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions.

Original language	English
Pages (from-to)	21-38
Number of pages	18
Journal	Revstat Statistical Journal
Volume	21
Issue number	1
DOIs	https://doi.org/10.57805/revstat.v21i1.395
State	Published - 2023

Bibliographical note

Publisher Copyright:
© 2023, National Statistical Institute. All rights reserved.

Keywords

estimation
magnitude correlation of stock returns
value at risk

ASJC Scopus subject areas

Statistics and Probability

Access to Document

10.57805/revstat.v21i1.395

Cite this

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abstract = "The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions.",

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AB - The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate t distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions.

KW - estimation

KW - magnitude correlation of stock returns

KW - value at risk

UR - https://www.scopus.com/pages/publications/85161830869

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Folded Bivariate Distributions as Models for Magnitude Correlation

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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