Measuring nonlinear dependence in time-series, a distance correlation approach

DOI10.1111/j.1467-9892.2011.00780.xzbMath1301.62095OpenAlexW1596804121MaRDI QIDQ2931592

Zhou Zhou

Publication date: 26 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00780.x

zbMATH Keywords

nonlinear dependencenonlinear time-seriessubsamplingautodistance correlation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Uses Software

• FinTS

Cites Work

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• Functional-Coefficient Autoregressive Models
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• Analysis of Financial Time Series
• Discussion of: Brownian distance covariance

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