Dionisio, Andreia; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 326-329
The main goal of the paper is to show how mutual information can be used as a measure of dependence in financial time series. One major advantage of this approach resides precisely in its ability to account for nonlinear dependencies with no need to specify a theoretical probability distribution...