Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
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.
When requesting a correction, please mention this item's handle: RePEc:cpn:umkdem:v:10:y:2010:p:97-106. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Miroslawa Buczynska)
If references are entirely missing, you can add them using this form.