Conditional independence graph for nonlinear time series and its application to international financial markets

DOI10.1016/j.physa.2012.07.002zbMath1402.91582MaRDI QIDQ1672948

Peng Zhang

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2012.07.002

zbMATH Keywords

financial markets; nonlinear time series; conditional mutual information; conditional independence graphs

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

05C90: Applications of graph theory

91B84: Economic time series analysis

62M07: Non-Markovian processes: hypothesis testing

Uses Software

• bootstrap
• MIM