Chapter 8Statistical Measures of Dependence for Financial Data
David S. Matteson, Nicholas A. James and William B. Nicholson
Cornell University, USA
The analysis of financial and econometric data is typified by non-Gaussian multivariate observations that exhibit complex dependencies: heavy-tailed and skewed marginal distributions are commonly encountered; serial dependence, such as autocorrelation and conditional heteroscedasticity, appear in time-ordered sequences; and nonlinear, higher-order, and tail dependence are widespread. Illustrations of serial dependence, nonnormality, and nonlinear dependence are shown in Figure 8.1.
When data are assumed to be jointly Gaussian, all dependence is linear, and therefore only ...
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