Verifying the Rényi Dependence Axioms for a Non-Linear Bivariate Comovement Index

16 Pages Posted: 30 May 2015

See all articles by Marco Corazza

Marco Corazza

Ca Foscari University of Venice - Dipartimento di Economia

Elisa Scalco

Independent

Date Written: May 22, 2015

Abstract

In a recent paper, a simple index able to evaluate the non-linear bivariate comovement between two asset prices has been proposed. In this paper we assess if that index satisfies the classical seven axioms formulated by Rényi that a measure of dependence should meet. Further, in the cases in which the index does not fulfil an axiom, we propose a weakened version of the original statement that the index satisfies.

Keywords: Random variables, non-linear bivariate comovement, Rényi dependence axioms

JEL Classification: C00

Suggested Citation

Corazza, Marco and Scalco, Elisa, Verifying the Rényi Dependence Axioms for a Non-Linear Bivariate Comovement Index (May 22, 2015). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 11/WP/2015, Available at SSRN: https://ssrn.com/abstract=2611867 or http://dx.doi.org/10.2139/ssrn.2611867

Marco Corazza (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Elisa Scalco

Independent

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