Non-monotone dependence modeling with copulas: an application to the volume-return relationship
MM Marchione, F Baione - arXiv preprint arXiv:2403.15862, 2024 - arxiv.org
This paper introduces an innovative method for constructing copula models capable of
describing arbitrary non-monotone dependence structures. The proposed method enables …
describing arbitrary non-monotone dependence structures. The proposed method enables …
Non-Monotone Dependence Modeling with Copulas: An Application to the Volume-Return Relationship
MM Marchione, F Baione - Available at SSRN 4840395 - papers.ssrn.com
This paper introduces an innovative method for constructing copula models capable of
describing arbitrary non-monotone dependence structures. The proposed method enables …
describing arbitrary non-monotone dependence structures. The proposed method enables …
[PDF][PDF] NON-MONOTONE DEPENDENCE MODELING WITH COPULAS: AN APPLICATION TO THE VOLUME-RETURN RELATIONSHIP
MM Marchione, F Baione - 2024 - researchgate.net
This paper introduces an innovative method for constructing copula models capable of
describing arbitrary non-monotone dependence structures. The proposed method enables …
describing arbitrary non-monotone dependence structures. The proposed method enables …