Non-monotone dependence modeling with copulas: an application to the volume-return relationship
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Acceso en línea: | |
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| _version_ | 1866909148128477184 |
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| author | Marchione, Manfred Marvin Baione, Fabio |
| author_facet | Marchione, Manfred Marvin Baione, Fabio |
| contents | This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the resulting models to adapt to diverse and intricate real-world data patterns. We apply this novel methodology to analyze the relationship between returns and trading volumes in financial markets, a domain where the existence of non-monotone dependencies is well-documented in the existing literature. Our approach exhibits superior adaptability compared to other models which have previously been proposed in the literature, enabling a deeper understanding of the dependence structure among the considered variables. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_15862 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Non-monotone dependence modeling with copulas: an application to the volume-return relationship Marchione, Manfred Marvin Baione, Fabio Methodology Probability This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the resulting models to adapt to diverse and intricate real-world data patterns. We apply this novel methodology to analyze the relationship between returns and trading volumes in financial markets, a domain where the existence of non-monotone dependencies is well-documented in the existing literature. Our approach exhibits superior adaptability compared to other models which have previously been proposed in the literature, enabling a deeper understanding of the dependence structure among the considered variables. |
| title | Non-monotone dependence modeling with copulas: an application to the volume-return relationship |
| topic | Methodology Probability |
| url | https://arxiv.org/abs/2403.15862 |