1 code implementation • 3 Jun 2021 • Anders D. Sleire, Bård Støve, Håkon Otneim, Geir Drage Berentsen, Dag Tjøstheim, Sverre Hauso Haugen
It is well known that there are asymmetric dependence structures between financial returns.
no code implementations • 3 Jun 2021 • Dag Tjøstheim, Martin Jullum, Anders Løland
Another type of data sets with a tremendous growth is very high-dimensional network data.
1 code implementation • 8 Aug 2017 • Lars Arne Jordanger, Dag Tjøstheim
The local Gaussian cross-spectrum has the desirable property that it coincides with the ordinary cross-spectrum for Gaussian time series, which implies that it can be used to detect non-Gaussian traits in the time series under investigation.
Methodology
1 code implementation • 7 Aug 2017 • Lars Arne Jordanger, Dag Tjøstheim
Asymmetries between the upper and lower tails of a time series can be investigated by means of the local Gaussian autocorrelations $\gamma_{v}(h)$ introduced in Tj{\o}stheim and Hufthammer (2013), and these local measures of dependence can be used to construct the local Gaussian spectral density $f_{v}(\omega)$ that is presented in this paper.
Methodology