. -- entropy ; information flow ; non-linear dynamics ; price discovery ; credit risk ; CDS …We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap … procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of …

We use transfer entropy to quantify information flows between financial mar- kets and propose a suitable bootstrap … procedure for statistical inference. Trans- fer entropy is a model-free measure designed as the Kullback-Leibler distance of …

We apply the concept of transfer entropy to quantify information flows between financial time series. Transfer entropy … allow for statistical inference of the estimates. In our empirical application, we examine the importance of the CDS and …

show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the …'s contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market …

show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the …'s contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market …

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and … integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can … trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we …

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in … Markets ; Electronic Markets ; Algorithmic Trading ; Order Entry ; Equity Trading ; Information Theory ; Entropy Measure …

entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies …