A copula entropy approach to correlation measurement at the country level

Applied Mathematics and Computation

Volumn 218, Issue 2, 2011, Pages 628-642

  Zhao, Ning ^a   Lin, Winston T ^b  

^a DALIAN UNIVERSITY OF TECHNOLOGY   (China)

^b UNIVERSITY AT BUFFALO   (United States)

Author keywords

Copula entropy; Information criterion; International economy; Non linear correlation; Non parameter estimation; Stock indexes

Indexed keywords

COPULA ENTROPY; INFORMATION CRITERION; INTERNATIONAL ECONOMY; NON-LINEAR CORRELATION; NON-PARAMETER ESTIMATION; STOCK INDICES;

DATA REDUCTION; ECONOMICS; ENTROPY; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; RISK ASSESSMENT;

CORRELATION METHODS;

EID: 79960840510     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2011.05.115     Document Type: Article

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