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“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment

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dc.contributor.authorAllen, David E.
dc.contributor.authorMcAleer, Michael
dc.date.accessioned2023-06-17T17:53:48Z
dc.date.available2023-06-17T17:53:48Z
dc.date.issued2018-09
dc.description.abstractThis 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.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statusunpub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/49151
dc.identifier.issn2341-2356
dc.identifier.officialurlhttps://www.ucm.es/icae/working-papers
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/17440
dc.issue.number23
dc.language.isoeng
dc.page.total9
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelC12
dc.subject.jelC100
dc.subject.jelC130
dc.subject.keywordSkewed correlation
dc.subject.keywordBravais formula
dc.subject.keywordGeneralised Measure of Correlation
dc.subject.keywordNonlinearity.
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5302 Econometría
dc.title“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Comment
dc.typetechnical report
dc.volume.number2018
dcterms.referencesAllen, D.E and V. Hooper (2018) Generalized Correlation Measures of Causality and Forecasts of the VIX using Non-linear Models, Sustainability, 10(8: 2695), 1-15. Bravais, A. (1846), Analyse mathématique sur les probabilités des erreurs de situation d'un point, Mémoires présentés par divers savants à l'Académie royale des sciences de l'Institut de France, 9, 255-332. Denis, D.J. (2000), The Origins of Correlation and Regression: Francis Galton or Auguste Bravais and the Error Theorists?, Paper presented at the 61st Annual Convention of the Canadian Psychological Association, Ottawa, Canada, 29 June, 2000. Vinod, H.D. (2015), Generalized Correlation and Kernel Causality with Applications in Development Economics, Communications in Statistics - Simulation and Computation, accepted Nov. 10, 2015, URL http://dx.doi.org/10.1080/ Yule, G.U. (1897), On the Signi_cance of Bravais Formulæ for Regression, in the case of skew correlation, Proceedings of The Royal Society London, 477-489. Zheng, S., N-S, Shi and Z. Zhang (2012), Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond, Journal of the American Statistical Association, 107, 1239-1252.
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