Dionisio, Andreia; Menezes, Rui; Mendes, Diana; Vidigal … - In: Applied Econometrics and International Development 7 (2007) 2, pp. 57-70
The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual...
