The variance implied conditional correlation
نویسندگان
چکیده
منابع مشابه
Conditional Distance Variance and Correlation
Recently a new dependence measure, the distance correlation, has been proposed to measure the dependence between continuous random variables. A nice property of this measure is that it can be consistently estimated with the empirical average of the products of certain distances between the sample points. Here we generalize this quantity to measure the conditional dependence between random varia...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2019
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847x.2019.1615524