منابع مشابه
Structural Conditional Correlation
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous variables needs to be exclusively explained by mutual spillover effects. In contrast, this paper allows for ...
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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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Systemic risk arises from simultaneous movement or correlations between market segments; Thus, systemic risk occurs when there is a high correlation between the risks and crises of different market segments or institutions operating in the economy, or when the risks of different segments in a market segment or a country are related to other segments and other countries. This paper presents a me...
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MOTIVATION One of the present challenges in biological research is the organization of the data originating from high-throughput technologies. One way in which this information can be organized is in the form of networks of influences, physical or statistical, between cellular components. We propose an experimental method for probing biological networks, analyzing the resulting data and reconst...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2009
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbp025