Information flow around stock market collapse

Author:

Bossomaier Terry1,Barnett Lionel2,Steen Adam1ORCID,Harré Mike1,d'Alessandro Steve3,Duncan Rod1

Affiliation:

1. Charles Sturt University; Bathurst NSW Australia

2. University of Sussex Falmer; Brighton UK

3. University of Sydney; Sydney QLD Australia

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Reference44 articles.

1. The MVGC multivariate Granger causality toolbox: A new approach to Granger-causal inference;Barnett;The Journal of Neuroscience Methods,2014

2. Granger causality and transfer entropy are equivalent for Gaussian variables;Barnett;Physics Review Letters,2009

3. Information flow in a kinetic Ising model peaks in the disordered phase;Barnett;Physics Review E,2013a

4. Information flow in a kinetic Ising model peaks in the disordered phase;Barnett;Physics Review Letters,2013b

5. Multivariate Granger causality and generalized variance;Barrett;Physics Review E,2010

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