Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story

DOI10.1016/J.ECONLET.2022.110460MaRDI QIDQ2158341zbMATHOpenAlexFDO

Authors David Neto

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110460

zbMATH Keywords

financial contagiontransfer entropycryptocurrencymedia attention

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Actuarial science and mathematical finance (91G99) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A Note on the Hiemstra-Jones Test for Granger Non-causality
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Dependence measures for extreme value analyses
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Price clustering in bitcoin
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing for Granger-causality in quantiles
• The General Theory of Employment, Interest, and Money
• Using transfer entropy to measure information flows between financial markets

Cited in

(4)

• Do investor sentiments drive cryptocurrency prices?
• Intricacy of cryptocurrency returns
• Cryptocurrencies and stock market fluctuations
• Measuring cryptocurrency moment convergence using distance analysis

Describes a project that uses

Uses Software

• RTransferEntropy

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