RT Generic
T1 Information-theoretic analysis of seral dependence and cointegration
A1 Aparicio, Felipe M.
A1 Escribano, Álvaro
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB This 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.
YR 1997
FD 1997-03
LK https://hdl.handle.net/10016/6208
UL https://hdl.handle.net/10016/6208
LA eng
DS e-Archivo
RD 18 may. 2024