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Information-theoretic analysis of seral dependence and cointegration

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorAparicio, Felipe M.
dc.contributor.authorEscribano, Álvaro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-12-22T12:01:06Z
dc.date.available2009-12-22T12:01:06Z
dc.date.issued1997-03
dc.description.abstractThis paper presents a wider characterization of memory in time series and of co integration in terms of information-theoretic statistics such as the entropy and the mutual information between pairs of variables. This suggests a new methodology for exploratory data analysis and for testing the hypothesis of long-memory and of the existence of a co integrating relationship. We illustrate the performances of the new techniques with some simulation experiments, and finally apply them to the analysis of the relationship between pairs of financial time series from a foreign exchangerate and a stock return markets.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6208
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers Statistics and Econometrics
dc.relation.ispartofseries97-27-14
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherInformation-theoretic statistics
dc.subject.otherlong memory
dc.subject.othercointegration
dc.subject.othernonlinearity
dc.subject.othercausality
dc.titleInformation-theoretic analysis of seral dependence and cointegration
dc.typeworking paper*
dspace.entity.typePublication
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