Nonparametric Directional Dependence Estimation and Its Application to Cryptocurrency
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DOI: 10.3390/axioms12030293
Abstract: This paper proposes a nonparametric directional dependence by using the local polynomial regression technique. With data generated from a bivariate copula having a nonmonotone regression structure, we show that our nonparametric directional dependence is superior… read more here.
Keywords: estimation application; nonparametric directional; directional dependence; dependence estimation ... See more keywords