Mutual information: a dependence measure for nonlinear time series
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References listed on IDEAS
- Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Levels of complexity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 16-27.
- Darbellay, Georges A & Wuertz, Diethelm, 2000. "The entropy as a tool for analysing statistical dependences in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 429-439.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- E. M. S. Ribeiro & G. A. Prataviera, 2014. "Information theoretic approach for accounting classification," Papers 1401.2954, arXiv.org, revised Sep 2014.
- Witold Orzeszko, 2010. "Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 97-106.
- Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
- Akimitsu Inoue, 2016. "Density estimation based on pointwise mutual information," Economics Bulletin, AccessEcon, vol. 36(2), pages 1138-1148.
- Rui Menezes & Andreia Dionísio & Hossein Hassanic, 2010. "On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?," CEFAGE-UE Working Papers 2010_06, University of Evora, CEFAGE-UE (Portugal).
- Ribeiro, E.M.S. & Prataviera, G.A., 2014. "Information theoretic approach for accounting classification," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 651-660.
- Kun Zhang & Laiwan Chan, 2009. "Efficient factor GARCH models and factor-DCC models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 71-91.
More about this item
KeywordsMutual information; nonlinear dependence; market efficiency;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-16 (All new papers)
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