Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international meanÐvariance portfolios and also, they are useful in...

Comovements among asset prices have received a lot of attention for several reasons. For example, comovements are important in cross-hedging and cross-speculation; they determine capital allocation both domestically and in international mean-variance portfolios and also, they are useful in...

In a recent paper, a simple index able to evaluate the non-linear bivariate comovement between two asset prices has been proposed. In this paper we assess if that index satisfies the classical seven axioms formulated by Rényi that a measure of dependence should meet. Further, in the cases in...