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

DOI10.1016/J.CNSNS.2022.106505OpenAlexW4224027801MaRDI QIDQ2137402FDOQ2137402

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

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zbMATH Keywords

heterogeneityinformation transferquantile transfer entropystock price-volume relationship

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

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

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