Huynh, Toan Luu Duc - 2019
the return, volume, and volatility. We employed the Transfer Entropy model with two different regimes: (i) stationary and … (ii) non-stationary assumption. We constructed different algorithm calculations for returns, volume, and volatility to … volatilities. Therefore, under uncertain regimes, investors are risk-averse to trade, which makes the market less volatile. Our …