“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment

David Allen and Michael McAleer

No 2018-23, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: This note comments on the Generalised Measure of Correlation (GMC) suggested by Zheng et al. (2012). The GMC concept was largely anticipated in a publication 115 years earlier, undertaken by Yule (1897), in the proceedings of the Royal Society. The note is directed at giving Yule (1897) credit for covering the foundations of the topic comprehensively.

Keywords: Skewed correlation; Bravais formula; Generalised Measure of Correlation; Nonlinearity. (search for similar items in EconPapers)
JEL-codes: C10 C12 C13 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2018-09
New Economics Papers: this item is included in nep-sea
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Working Paper: "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment (2018)
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