Modeling the flow of information between financial time-series by an entropy-based approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-019-03319-7.pdf
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3. Awartani, B., Maghyereh, A. I., & Cherif, G. (2016). The connectedness between crude oil and financial markets: Evidence from implied volatility indices. Journal of Commodity Markets, 4, 56–69.
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5. Benedetto, F., Giunta, G., & Mastroeni, L. (2015). A maximum entropy method to assess the predictability of financial and commodity prices. Digital Signal Processing, 46, 19–31.
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