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Comparison of transfer entropy methods for financial time series
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Comparison of transfer entropy methods for financial time series (2017)Comparison of transfer entropy methods fo…The impact of the financial crisis on transatlantic information flows: An intraday analysis (2014)The impact of the financial c…Structure of a Global Network of Financial Companies Based on Transfer Entropy (2014)Structure of a Global Network…Effective transfer entropy approach to information flow between exchange rates and stock markets (2014)Effective transfer entropy ap…Rényi’s information transfer between financial time series (2012)Rényi’s information transfer …Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysing the information flow between financial time series (2002)Analysing the information flo…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Dependency Relations among International Stock Market Indices (2015)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy (2019)RETRACTED: The impacts of climate policy uncertainty on stock markets: Comparison between China and the US (2023)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Introduction to Econophysics (1999)Statistical properties of the volatility of price fluctuations (1999)Simulation Study of Direct Causality Measures in Multivariate Time Series (2013)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Directionality of coupling from bivariate time series: How to avoid false causalities and missed connections (2007)Widespread Worry and the Stock Market (2010)Hierarchical structure in financial markets (1999)Financial Contagion (2000)Systemic Risk and Stability in Financial Networks (2015)A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test (2017)Financial networks based on Granger causality: A case study (2017)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)A model of carbon price interactions with macroeconomic and energy dynamics (2011)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Reducing demand uncertainty in the platelet supply chain through artificial neural networks and ARIMA models (2019)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2010Analysis of Financial Time Series1,035 cited
  • 2002Analysing the information flow between financial time series448 cited
  • 2012Rényi’s information transfer between financial time series159 cited
  • 2014Structure of a Global Network of Financial Companies Based on Transfer Entropy139 cited
  • 2014The impact of the financial crisis on transatlantic information flows: An intraday analysis107 cited
  • 2014Effective transfer entropy approach to information flow between exchange rates and stock markets102 cited

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