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Export Reference (APA) 
Dionisio, A., Mendes, D.A., Menezes, R. & Silva, J.V. (2005). Linear and nonlinear dependence models of stock market returns. Social Science Research Network.
Export Reference (IEEE) 
A. T. Dionisio et al.,  "Linear and nonlinear dependence models of stock market returns", in Social Science Research Network, 2005
Export BibTeX 
@article{dionisio2005_1765603009940,
	author = "Dionisio, A. and Mendes, D.A. and Menezes, R. and Silva, J.V.",
	title = "Linear and nonlinear dependence models of stock market returns",
	journal = "Social Science Research Network",
	year = "2005",
	volume = "",
	number = "",
	doi = "10.2139/ssrn.668001",
	url = "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=668001&rec=1&srcabs=876556&alg=7&pos=9"
}
Export RIS 
TY  - JOUR
TI  - Linear and nonlinear dependence models of stock market returns
T2  - Social Science Research Network
AU  - Dionisio, A.
AU  - Mendes, D.A.
AU  - Menezes, R.
AU  - Silva, J.V.
PY  - 2005
SN  - 1556-5068
DO  - 10.2139/ssrn.668001
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=668001&rec=1&srcabs=876556&alg=7&pos=9
AB  - 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 information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour. 
ER  -