A copula entropy approach to correlation measurement at the country level

DOI10.1016/J.AMC.2011.05.115zbMath1222.91064OpenAlexW2078178705MaRDI QIDQ720659

Winston T. Lin, Ning Zhao

Publication date: 11 October 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.05.115

zbMATH Keywords

information criterionstock indexescopula entropyinternational economynon-linear correlationnon-parameter estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

Joint dependence distribution of data set using optimizing Tsallis copula entropy ⋮ Maximum entropy copula with given diagonal section

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