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

Author:

Sensoy Ahmet,Sobaci Cihat,Sensoy Sadri,Alali Fatih

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference13 articles.

1. Independent coordinates for strange attractors from mutual information;Fraser;Phys Rev A,1986

2. Investigating causal relations by econometric models and cross-spectral methods;Granger;Econometrica,1969

3. Testing for linear and non-linear Granger causality in the stock price-volume relation;Hiemstra;J Financ,1994

4. Renyi’s information transfer between financial time series;Jizba;Phys A,2012

5. Asymmetric information flow between market index and individual stocks in several stock markets;Kwon;Europhys. Lett.,2012

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