Detection of non-linear structure in time series
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References listed on IDEAS
- C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
- Matilla-Garcia, Mariano & Ruiz Marin, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
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- Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús, 2014. "Testing Spatial Causality in Cross-section Data," MPRA Paper 56678, University Library of Munich, Germany.
- Helmut Elsinger, 2010. "Independence Tests based on Symbolic Dynamics," Working Papers 165, Oesterreichische Nationalbank (Austrian Central Bank).
- Marcos Herrera & Manuel Ruiz & Jesús Mur, 2013. "Detecting Dependence Between Spatial Processes," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(4), pages 469-497, February.
- Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
- Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
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