Using transfer entropy to measure information flows between financial markets

DOI10.1515/SNDE-2012-0044zbMath1506.62402OpenAlexW3124464173MaRDI QIDQ5881676

Franziska J. Peter, Thomas Dimpfl

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0044

zbMATH Keywords

entropynonlinear dynamicscredit riskCDSinformation flowprice discovery

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Financial markets (91G15)

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