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.

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Year of publication:	2010
Authors:	Orzeszko, Witold
Published in:	Dynamic Econometric Models. - Uniwersytet Mikolaja Kopernika. - Vol. 10.2010, p. 97-106
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	nonlinearity \| mutual information coefficient \| mutual information \| serial dependencies

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009001687