Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series

DOI10.1016/J.CNSNS.2022.106505MaRDI QIDQ2137402OpenAlexFDO

Authors Na Zhang, Xiaojun Zhao

Publication date 16 May 2022

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106505

zbMATH Keywords

heterogeneityinformation transferquantile transfer entropystock price-volume relationship

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Recommendations

• Multiscale transfer entropy: measuring information transfer on multiple time scales
• Transfer mutual information: A new method for measuring information transfer to the interactions of time series
• Transfer entropy coefficient: quantifying level of information flow between financial time series
• Information quantity evaluation of nonlinear time series processes and applications
• Measuring information transfer by dispersion transfer entropy
• Transfer entropy expressions for a class of non-Gaussian distributions
• A quantile-based study of cumulative residual Tsallis entropy measures
• A quantile-based generalized dynamic cumulative measure of entropy

Cites work

• A non-parametric approach to non-linear causality testing
• Boosting: why you can use the HP filter
• Comparison of transfer entropy methods for financial time series
• Cross-correlations between volume change and price change
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Multiscale transfer entropy: measuring information transfer on multiple time scales
• Multivariate multiscale complexity-entropy causality plane analysis for complex time series
• Regression Quantiles
• Stability and control of large-scale dynamical systems. A vector dissipative systems approach.
• Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
• Testing for Granger-causality in quantiles
• The asymmetric effects of monetary policy on the business cycle: evidence from the panel smoothed quantile regression model
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis

Cited in

(3)

• Information quantity evaluation of nonlinear time series processes and applications
• Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
• Multiscale transfer entropy: measuring information transfer on multiple time scales

This page was built for publication: Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2137402)