Mutual information: a measure of dependency for nonlinear time series
Dionísio, A., R. Menezes, D.A. Mendes
,
(2004)
,
"Mutual information: a measure of dependency for nonlinear time series"
,
Physica A
,
344
,
326-329
.
Autor(es) CEFAGE
Andreia Teixeira Marques Dionísio
Resumo
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.