Copula entropy method for measuring correlation in financial risk

MaRDI QIDQ3016788zbMATH OpenFDO

Authors Ning Zhao, Xingsi Li

Publication date 19 July 2011

zbMATH Keywords

correlation measurementeconomic circles

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(6)

• Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
• Research on the measure and stripping of correlation risk in incomplete market
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• A copula-based correlation measure and its application in Chinese stock market
• An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications
• A copula entropy approach to correlation measurement at the country level

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