Dependence of Stock Returns in Bull and Bear Markets
Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any kind of model misspecification. We derive hyp...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2013-01-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/demo-2013-0005 |