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Title: Mutual information: a measure of dependency for nonlinear time series
Authors: Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Keywords: Mutual information; Nonlinear dependence; Efficient market hypothesis
Issue Date: 2004
Publisher: Elsevier
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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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