Work

On the exact region determined by Spearman’s rho and Spearman’s footrule

Year: 2023

Type: article

Abstract: We determine the lower bound for possible values of Spearman’s rho of a bivariate copula given that the value of its Spearman’s footrule is known and show that this bound is always attained. We also give an estimate for the exact upper bound and prove that the estimate is exact for some but not all values of Spearman’s footrule. Nevertheless, we show that the estimate is quite tight.

Source: Journal of Computational and Applied Mathematics

DOI: 10.1016/j.cam.2023.115463

Authors: Damjana Kokol Bukovšek, Nik Stopar

Institutions: University of Ljubljana, Institute of Mathematics, Physics, and Mechanics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,870

OpenAlex ID: W4385163739

FWCI: 3.318

Cites: 42

Cited by: 19

Related to: 10