Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient

dc.contributor.author	Orzeszko, Witold
dc.date.accessioned	2014-11-07T08:50:46Z
dc.date.available	2014-11-07T08:50:46Z
dc.date.issued	2010-07-17
dc.identifier.citation	Dynamic Econometric Models, Vol. 10, pp. 97-106
dc.identifier.issn	1234-3862
dc.identifier.other	doi:10.12775/DEM.2010.008
dc.identifier.uri	http://repozytorium.umk.pl/handle/item/2238
dc.description.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.
dc.language.iso	eng
dc.rights	Attribution-NoDerivs 3.0 Poland
dc.rights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject	nonlinearity
dc.subject	mutual information coefficient
dc.subject	mutual information
dc.subject	serial dependencies
dc.title	Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
dc.type	info:eu-repo/semantics/article