Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/85234
Autor:innen: 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
CoFE Discussion Paper No. 02/14
Verlag: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Zusammenfassung: 
This paper discusses two graphical methods for the investigation of local association of two continuous random variables. Often, scalar dependence measures, such as correlation, cannot reflect the complex dependence structure of two variables. However, dependence graphs have the potential to assess a far richer class of bivariate dependence structures. The two graphical methods discussed in this article are the chi-plot and the local dependence map. After the introduction of these methods they are applied to different data sets. These data sets contain simulated data and daily stock return series. With these examples the application possibilities of the two local dependence graphs are shown.
Schlagwörter: 
Association
bivariate distribution
chi-plot
copula
correlation
kernel smoothing
local dependence
permutation test
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
870.33 kB





Publikationen in EconStor sind urheberrechtlich geschützt.