SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Comparison of transfer entropy methods for financial time series · Study

ArticleShelves

ArticleComparison of transfer entropy methods for financial time series

Jiayi He2017

Article2017

Comparison of transfer entropy methods for financial time series

Jiayi He · Pengjian Shang

91 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 91 citations exist upstream.

References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 2006Analysis of Financial Time Series 2010Analysis of Financial Time Series 2002Analysing the information flow between financial time series 2012Rényi’s information transfer between financial time series 2014Structure of a Global Network of Financial Companies Based on Transfer Entropy 2014The impact of the financial crisis on transatlantic information flows: An intraday analysis 2014Effective transfer entropy approach to information flow between exchange rates and stock markets

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2015Dependency Relations among International Stock Market Indicesarticle · 6 shared references 2019RTransferEntropy — Quantifying information flow between different time series using effective transfer entropyother · 3 shared references 2014Structure of a Global Network of Financial Companies Based on Transfer Entropyarticle · 3 shared references 2014Effective transfer entropy approach to information flow between exchange rates and stock marketsarticle · 3 shared references 2020Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH modelarticle · 3 shared references 2003Vector Autoregressive Models for Multivariate Time Serieschapter · 2 shared references

Details

Year2017

Typearticle

Published2017-04-29

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations91

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/j.physa.2017.04.089

openalex_workW2607854259

Links

Imported from OpenAlex (CC0) — nothing here is generated.