Verifying the Rényi Dependence Axioms for a Non-Linear Bivariate Comovement Index
16 Pages Posted: 30 May 2015
Date Written: May 22, 2015
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
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