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Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
16 references·1 citing·40 second hop
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 2006A Tale of Two Indices381 cited
  • 2002Entropy and predictability of stock market returns293 cited
  • 2004A Dependence Metric for Possibly Nonlinear Processes247 cited
  • 1991Consistent Nonparametric Entropy-Based Testing235 cited
  • 2003Errors in Implied Volatility Estimation183 cited
  • 2005Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence168 cited
  • 1991Error Correction and Long-Run Equilibrium in Continuous Time139 cited
  • 2006Long Memory and the Relation Between Implied and Realized Volatility126 cited
  • 2002Information and Entropy Econometrics—Editor's View125 cited
  • 2007On the Role of Risk Premia in Volatility Forecasting122 cited

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  • 1996Testing for independence between two covariance stationary time series105 cited
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    • 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited