Using transfer entropy to measure information flows between financial markets
Year of publication: |
2012
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Authors: | Dimpfl, Thomas ; Peter, Franziska J. |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Finanzmarkt | Informationsverbreitung | Entropie | Kreditderivat | Unternehmensanleihe | Theorie | Europa | entropy | information flow | non-linear dynamics | price discovery | credit risk | CDS |
Series: | SFB 649 Discussion Paper ; 2012-051 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722172478 [GVK] hdl:10419/79614 [Handle] RePEc:hum:wpaper:sfb649dp2012-051 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G15 - International Financial Markets |
Source: |
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Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas, (2012)
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