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“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment

Author

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  • David E. Allen

    (School of Mathematics and Statistics, University of Sydney, Australia, Department of Finance, Asia University, Taiwan, and School of Business and Law, Edith Cowan University, Western Australia, Department of Finance, Asia University, Taiwan.)

  • Michael McAleer

    ( Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.)

Abstract

This note comments on the Generalised Measure of Correlation (GMC) suggested by Zheng et al. (2012). The GMC concept was largely anticipated in a publication 115 years earlier, undertaken by Yule (1897), in the proceedings of the Royal Society. The note is directed at giving Yule (1897) credit for covering the foundations of the topic comprehensively.

Suggested Citation

  • David E. Allen & Michael McAleer, 2018. "“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment," Documentos de Trabajo del ICAE 2018-23, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:1823
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    File URL: https://eprints.ucm.es/id/eprint/49151/1/1823.pdf
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    References listed on IDEAS

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    1. David E Allen & Vince Hooper, 2018. "Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models," Sustainability, MDPI, vol. 10(8), pages 1-15, August.
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    Cited by:

    1. Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.

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    More about this item

    Keywords

    Skewed correlation; Bravais formula; Generalised Measure of Correlation; Nonlinearity.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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