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

DOI10.1016/J.ECONLET.2022.110460zbMATH Open1493.91137OpenAlexW4221058692MaRDI QIDQ2158341FDOQ2158341

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

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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)

Cites Work

• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• 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
• The General Theory of Employment, Interest, and Money
• Testing for Granger-causality in quantiles
• A Note on the Hiemstra-Jones Test for Granger Non-causality
• Price clustering in bitcoin
• Using transfer entropy to measure information flows between financial markets

Uses Software

• RTransferEntropy

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