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Allen, David E. and McAleer, Michael (2018) “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 23, 2018, ISSN: 2341-2356 ] (Unpublished)
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Official URL: https://www.ucm.es/icae/working-papers
Abstract
This note comments on the Generalised Measure of Correlation (GMC) suggested by Zheng et al. (2012). The GMC concept was largely anticipated in a publication 115 years earlier, undertaken by Yule (1897), in the proceedings of the Royal Society. The note is directed at giving Yule (1897) credit for covering the foundations of the topic comprehensively.
| Item Type: | Working Paper or Technical Report |
|---|---|
| Uncontrolled Keywords: | Skewed correlation; Bravais formula; Generalised Measure of Correlation; Nonlinearity. |
| Subjects: | Social sciences > Economics > Econometrics |
| JEL: | C12, C100, C130 |
| Series Name: | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) |
| Volume: | 2018 |
| Number: | 23 |
| ID Code: | 49151 |
| Deposited On: | 17 Sep 2018 12:12 |
| Last Modified: | 15 Feb 2022 09:29 |
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