A copula entropy approach to correlation measurement at the country level

DOI10.1016/J.AMC.2011.05.115zbMATH Open1222.91064OpenAlexW2078178705MaRDI QIDQ720659FDOQ720659

Winston T. Lin, Ning Zhao

Publication date: 11 October 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2011.05.115

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zbMATH Keywords

copula entropyinformation criterionstock indexesinternational economynon-linear correlationnon-parameter estimation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY

Cited In (3)

• Maximum entropy copula with given diagonal section
• Joint dependence distribution of data set using optimizing Tsallis copula entropy
• A copula-based correlation measure and its application in Chinese stock market

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