Menezes, Rui; Dionísio, Andreia; Hassani, Hossein - In: The Quarterly Review of Economics and Finance 52 (2012) 4, pp. 369-384
, Mutual Information and Singular Spectrum Analysis capture nonlinear relationships in a non-parametric way. The framework of …, the nonlinear Singular Spectrum Analysis technique displays several advantages, since it enabled us to capture nonlinear … Spectrum Analysis (SSA). While the cointegration tests are based on regression models and capture linearities in the data …