"Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment
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.
|Keywords||Skewed correlation, Bravais formula, Generalised Measure of Correlation, Nonlinearity|
|JEL||Hypothesis Testing (jel C12), Econometric and Statistical Methods: General (jel C1), Estimation (jel C13)|
|Series||Econometric Institute Research Papers|
Allen, D.E, & McAleer, M.J. (2018). "Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond": Comment (No. EI 2018-33). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/110017