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Dionísio, A., Menezes, R., Mendes, D. & Vidigal da Silva, J. (2007). Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003. Applied Econometrics and International Development. 7 (2), 57-71

A. Dionísio et al.,  "Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003", in Applied Econometrics and Int. Development, vol. 7, no. 2, pp. 57-71, 2007

@article{dionísio2007_1714237366375,
	author = "Dionísio, A. and Menezes, R. and Mendes, D. and Vidigal da Silva, J.",
	title = "Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003",
	journal = "Applied Econometrics and International Development",
	year = "2007",
	volume = "7",
	number = "2",
	pages = "57-71",
	url = "http://www.usc.es/economet/aeid.htm"
}

TY  - JOUR
TI  - Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003
T2  - Applied Econometrics and International Development
VL  - 7
IS  - 2
AU  - Dionísio, A.
AU  - Menezes, R.
AU  - Mendes, D.
AU  - Vidigal da Silva, J.
PY  - 2007
SP  - 57-71
SN  - 1578-4487
UR  - http://www.usc.es/economet/aeid.htm
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  -