using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …'s tau are compared to Pearson's linear correlation, a more typical measure of dependence. Using this information, functions … consistently less than the linear correlation elasticities for wheat and cotton. For sorghum, however, the copula …

Since correlation may be interpreted as a measure of the influence across time-series, it may be conveniently mapped … noise in correlation matrices by extracting the dominant hierarchy (i.e. the strongest linear-dependence signals) within … structural shift caused by the failure of Lehman Brothers. Thus, based on two different correlation-into-distance mapping …

a correlation between their responses to a series of worldview questions and their acceptance of resource development …. Not surprisingly, the correlation becomes stronger as the homogeneity of the respondent group increases. The results of … to the survey, there is a correlation between their responses to a series of worldview questions and their acceptance of …

Purpose – The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the … market correlation affects stock returns. Design/methodology/approach – The authors first examine the relationship between … the market correlation and the market return. Then, the authors run formal multiple regressions to see whether correlation …

Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters … across DJIA, S&P 500 and NASDAQ composite. Findings – It is found that the correlation positive extreme returns within …

comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the …

average correlation coefficient between S&P 500 firms rose during the crisis from 0.20 to 0.35, an increase of 75 percent … during major crises can be hard to achieve because the average correlation coefficient between stock returns may rise …