Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
Witold Orzeszko (vit@umk.pl)
Dynamic Econometric Models, 2010, vol. 10, 97-106
Abstract:
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.
Keywords: nonlinearity; mutual information coefficient; mutual information; serial dependencies. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:10:y:2010:p:97-106
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