conditions, the difference of the two series has a threshold-type nonlinearity. One can construct a threshold error correction ….S. Treasury bill and commercial paper interest rates. The spread of these interest rates shows a threshold-type nonlinearity, and …

Linear correlation is only an adequate means of describing the dependence between two random variables when they are … correlation coefficient becomes just one of many possible ways of summarising the dependence structure between the variables. In … decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We …

results highlight the dependence on the employed kernel, whether or not the taper is nonzero at the boundary, and most …