Effective transfer entropy approach to information flow between exchange rates and stock markets

DOI10.1016/J.CHAOS.2014.08.007zbMath1354.91117OpenAlexW1966364286MaRDI QIDQ506675

Ahmet Sensoy, Sadri Sensoy, Fatih Alali, Cihat Sobaci

Publication date: 1 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/26547

zbMATH Keywords

exchange ratesstock priceseffective transfer entropyemerging countries

Mathematics Subject Classification ID

Economic time series analysis (91B84) Measures of information, entropy (94A17)

Related Items (5)

Comparison of transfer entropy methods for financial time series ⋮ Dynamic importance of network nodes is poorly predicted by static structural features ⋮ Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption ⋮ Dynamics of the price–volume information flow based on surrogate time series ⋮ Effective transfer entropy to measure information flows in credit markets

Cites Work

• A Mathematical Theory of Communication
• Testing for nonlinearity in time series: the method of surrogate data
• Independent coordinates for strange attractors from mutual information
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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