Description

• Title:
  Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
• Creator:
  Orzeszko, Witold
• Description:
  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.
• Object availability:
  free access
• Date:
  2010.07.17
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 10 (2010); 97-106;
  Dynamic Econometric Models; Tom 10 (2010); 97-106;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2010.008/4030
• Subject:
  nonlinearity;
  mutual information coefficient;
  mutual information;
  serial dependencies
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2010.008
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text