Mutual information: a measure of dependency for nonlinear time series
| dc.contributor.author | Dionísio, Andreia | |
| dc.contributor.author | Menezes, Rui | |
| dc.contributor.author | Mendes, Diana | |
| dc.date.accessioned | 2009-11-16T15:55:47Z | |
| dc.date.available | 2009-11-16T15:55:47Z | |
| dc.date.issued | 2004 | |
| dc.description.abstract | The main goal of the paper is to show how mutual information can be used as a measure of dependence in financial time series. One major advantage of this approach resides precisely in its ability to account for nonlinear dependencies with no need to specify a theoretical probability distribution or use of a mean-variance model. | en |
| dc.format.extent | 130345 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.accesstype | livre | en |
| dc.identifier.authoremail | andreia@uevora.pt | |
| dc.identifier.authoremail | rui.menezes@iscte.pt | |
| dc.identifier.authoremail | diana.mendes@iscte.pt | |
| dc.identifier.pagina | 326-329 | en |
| dc.identifier.revista | Physica A | en |
| dc.identifier.scientificarea | 637 | en |
| dc.identifier.uri | http://hdl.handle.net/10174/1818 | |
| dc.identifier.volume | 344 | en |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | en |
| dc.publisher | Elsevier | en |
| dc.rights | openAccess | en |
| dc.subject | Mutual information; Nonlinear dependence; Efficient market hypothesis | en |
| dc.title | Mutual information: a measure of dependency for nonlinear time series | en |
| dc.type | article | en |