Folded bivariate distributions as models for magnitude correlation. (English) Zbl 1538.62172
Summary: The concept of magnitude correlation requires the use of folded bivariate distributions. However, apart from the folded bivariate normal and folded bivariate \(t\) distributions (of these two only the former has received any real applications), nothing is known about folded bivariate distributions. Here, we introduce six new folded bivariate distributions. Applications involving stock indices of ten major economies show the value of the proposed distributions.
MSC:
| 62H10 | Multivariate distribution of statistics |
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91G70 | Statistical methods; risk measures |
Software:
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