Akhtaruzzaman, M. ; Boubaker, S. ; Sensoy, A. Financial contagion during COVID-19 crisis. 2021 Finance Res. Lett.. 38 -
- Alcock, J. ; Satchell, S. Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. 2018 John Wiley & Sons: Chichester, England
Paper not yet in RePEc: Add citation now
- Billingsley, P. Probability and Measure. 2008 John Wiley & Sons:
Paper not yet in RePEc: Add citation now
- Blumentritt, T. ; Schmid, F. Mutual information as a measure of multivariate association: analytical properties and statistical estimation. 2012 J. Stat. Comput. Simul.. 82 1257-1274
Paper not yet in RePEc: Add citation now
- Celik, S. The more contagion effect on emerging markets: The evidence of DCC-GARCH model. 2012 Econ. Model.. 29 1946-1959
Paper not yet in RePEc: Add citation now
- Cover, T.M. ; Thomas, J.A. Elements of Information Theory. 2006 John Wiley & Sons: Hoboken, New Jersey
Paper not yet in RePEc: Add citation now
- De Keyser, S. ; Gijbels, I. Copula-based divergence measures for dependence between random vectors. 2023 En : García-Escudero, L.A. ; Gordaliza, A. ; Mayo, A. ; Gomez, M.A.L. ; Gil, M.A. ; Grzegorzewski, P. ; Hryniewicz, O. Building Bridges Between Soft and Statistical Methodologies for Data Science. Springer:
Paper not yet in RePEc: Add citation now
- De Keyser, S. ; Gijbels, I. Supplement to Parametric Dependence Between Random Vectors Via Copula-Based Divergence Measures. 2024 :
Paper not yet in RePEc: Add citation now
- Embrechts, P. ; McNeil, A.J. ; Straumann, D. Correlation and dependence in risk management: properties and pitfalls. 2002 En : Dempster, M. Risk Management: Value at Risk and beyond. Cambridge University Press:
Paper not yet in RePEc: Add citation now
- Fan, Y. ; Henry, M. Vector copulas. 2023 J. Econom.. 234 128-150
Paper not yet in RePEc: Add citation now
Gallegati, M. A wavelet-based approach to test for financial market contagion. 2012 Stat. Data. Anal.. 56 3491-3497
Geenens, G. ; Lafaye de Micheaux, P. The Hellinger correlation. 2022 J. Amer. Statist. Assoc.. 117 639-653
Geißer, S. ; Ruppert, M. ; Schmid, F. A multivariate version of hoeffding’s phi-square. 2010 J. Multivariate Anal.. 101 2571-2586
Gijbels, I. ; Kika, V. ; Omelka, M. On the specification of multivariate association measures and their behaviour with increasing dimension. 2021 J. Multivariate Anal.. 182 -
- Goria, M.N. ; Leonenko, N.N. ; Mergel, V.V. ; Novi Inverardi, P.L. A new class of random vector entropy estimators and its applications in testing statistical hypotheses. 2005 J. Nonparametr. Stat.. 17 277-297
Paper not yet in RePEc: Add citation now
Grothe, O. ; Schnieders, J. ; Segers, J. Measuring association and dependence between random vectors. 2014 J. Multivariate Anal.. 123 96-110
- Hájek, J. ; Šidák, Z. Theory of Rank Tests. 1967 Academia: Prague
Paper not yet in RePEc: Add citation now
Hofert, M. ; Oldford, W. ; Prasad, A. ; Zhu, M. A framework for measuring association of random vectors via collapsed random variables. 2019 J. Multivariate Anal.. 172 5-27
Hofert, M. ; Pham, D. Densities of nested Archimedean copulas. 2013 J. Multivariate Anal.. 118 37-52
- Hotelling, H. Relations between two sets of variates. 1936 Biometrika. 28 321-377
Paper not yet in RePEc: Add citation now
- Jian, M. ; Zengqi, S. Mutual information is copula entropy. 2011 Tsinghua Sci. Technol.. 16 51-54
Paper not yet in RePEc: Add citation now
Joe, H. Estimation of entropy and other functionals of a multivariate density. 1989 Ann. Inst. Statist. Math.. 41 683-697
- Klaassen, C.A.J. ; Wellner, J.A. Efficient estimation in the bivariate normal copula model: normal margins are least favourable. 1997 Bernoulli. 3 55-77
Paper not yet in RePEc: Add citation now
- Lancaster, H.O. Correlation and complete dependence of random variables. 1963 Ann. Math. Stat.. 34 1315-1321
Paper not yet in RePEc: Add citation now
- Liese, F. ; Vajda, I. On divergences and informations in statistics and information theory. 2006 IEEE Trans. Inform. Theory. 52 4394-4412
Paper not yet in RePEc: Add citation now
- Majerek, D. ; Nowak, W. ; Ziba, W. Conditional strong law of large number. 2005 Int. J. Pure. Appl. Math.. 20 143-156
Paper not yet in RePEc: Add citation now
- McNeil, A.J. ; Frey, R. ; Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools. 2005 Princeton University Press: New Jersey
Paper not yet in RePEc: Add citation now
Medovikov, I. ; Prokhorov, A. A new measure of vector dependence, with applications to financial risk and contagion. 2017 J. Financ. Econ.. 15 474-503
Mordant, G. ; Segers, J. Measuring dependence between random vectors via optimal transport. 2022 J. Multivariate Anal.. 189 -
- Nelsen, R.B. An Introduction to Copulas. 2006 Springer Science and Business Media: New York
Paper not yet in RePEc: Add citation now
- Nelsen, R.B. Nonparametric measures of multivariate association. 1996 En : Distributions with Fixed Marginals and Related Topics. L. Rüschendorf and B. Schweizer and M.D. Taylor:
Paper not yet in RePEc: Add citation now
Okhrin, O. ; Ristig, A. Hierarchical archimedean copulae: The hac package. 2014 J. Stat. Softw.. 58 1-20
- Omelka, M. ; Gijbels, I. ; Veraverbeke, N. Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing. 2009 Ann. Statist.. 37 3023-3058
Paper not yet in RePEc: Add citation now
Österreicher, F. ; Vajda, I. A new class of metric divergences on probability spaces and its applicability in statistics. 2003 Ann. Inst. Statist. Math.. 55 639-653
- Rényi, A. On measures of dependence. 1959 Math. Acad. Sci. Hungar.. 10 441-451
Paper not yet in RePEc: Add citation now
Schmid, F. ; Schmidt, R. Multivariate extensions of Spearman’s rho and related statistics. 2007 Statist. Probab. Lett.. 77 407-416
- Schweizer, B. ; Wolff, E.F. On nonparametric measures of dependence for random variables. 1981 Ann. Statist.. 9 879-885
Paper not yet in RePEc: Add citation now
- Sklar, A. Fonctions de repartition à n dimensions et leurs marges. 1959 Publ. Inst. Stat. Univ. Paris. 8 229-231
Paper not yet in RePEc: Add citation now
- Van Es, B. Estimating functionals related to a density by a class of statistics based on spacings. 1992 Scand. J. Stat.. 19 61-72
Paper not yet in RePEc: Add citation now
Wang, X. ; Hui, X. Mutual information based analysis for the distribution of financial contagion in stock markets. 2017 Discrete Dyn. Nat. Soc.. 2017 -
- Wolff, E.F. n-Dimensional measures of dependence. 1980 Stochastica. 4 175-188
Paper not yet in RePEc: Add citation now
Wu, E.H.C. ; Yu, P.L.H. ; Li, W.K. A smoothed bootstrap test for independence based on mutual information. 2009 Comput. Stat. Data Anal.. 53 2524-2536
- Zhang, J. ; Liu, T. An optimal transport analysis on generalization in deep learning. 2023 IEEE Trans. Neural Netw. Learn. Syst.. 34 2842-2853
Paper not yet in RePEc: Add citation now
- Zhang, L. ; Lu, D. ; Wang, X. The essential dependence for a group of random vectors. 2020 Comm. Statist. Theory Methods. 50 1-37
Paper not yet in RePEc: Add citation now