Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
Journal Title: Dynamic Econometric Models - Year 2010, Vol 10, Issue 1
Abstract
Construction, estimation and application of the mutual information measure have been presented in this paper. The simulations have been carried out to verify its usefulness to detect nonlinear serial dependencies. Moreover, the mutual information measure has been applied to the indices and the sector sub-indices of the Warsaw Stock Exchange.
Authors and Affiliations
Witold Orzeszko
Keywords
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- EP ID EP92316
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