Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
and the S&P500 Index using a variety of parametric and non-parametric techniques. These methods include linear standard … measures of association. In addition, non-linear, non-parametric measures such as the Generalised Measure of Correlation (GMC …) and non-parametric copula estimates are applied. The results across this range of measures are consistent. The metrics …