Quantifying information transfer between commodities and implied volatilities in the energy markets : a multi-frequency approach

Thobekile Qabhobho, Emmanuel Asafo-Adjei, Peterson Owusu Junior, Anokye M. Adam

Year of publication:	2022
Authors:	Qabhobho, Thobekile ; Asafo-Adjei, Emmanuel ; Owusu Junior, Peterson ; Adam, Anokye M.
Published in:	International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 12.2022, 5, p. 472-481
Subject:	Crude oil implied volatility \| Bi-directional causality \| Rényi transfer entropy \| heterogeneity \| Volatilität \| Volatility \| Energiemarkt \| Energy market \| Entropie \| Entropy \| Rohstoffderivat \| Commodity derivative \| Ölpreis \| Oil price \| Erdöl \| Petroleum \| Optionspreistheorie \| Option pricing theory

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