Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors
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References listed on IDEAS
- 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.
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More about this item
Keywordsnonlinear dependence; stock market; financial and macroeconomic factors;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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