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Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient

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Author Info

  • Witold Orzeszko

    ()
    (Nicolaus Copernicus University in Torun)

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.

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File URL: http://www.dem.umk.pl/dem/archiwa/v10/08_WOrzeszko.pdf
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Bibliographic Info

Article provided by Uniwersytet Mikolaja Kopernika in its journal Dynamic Econometric Models.

Volume (Year): 10 (2010)
Issue (Month): ()
Pages: 97-106

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Handle: RePEc:cpn:umkdem:v:10:y:2010:p:97-106

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Web page: http://www.wydawnictwoumk.pl

Related research

Keywords: nonlinearity; mutual information coefficient; mutual information; serial dependencies.;

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Cited by:
  1. Piotr Fiszeder & Witold Orzeszko, 2012. "Nonparametric Verification of GARCH-Class Models for Selected Polish Exchange Rates and Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 430-449, November.

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