Search Results - subject:"Rényi transfer entropy"

Information flow between BRVM and ESG stock returns : a frequency-dependent analysis

Kyei, Collins Baffour; Ampong, George Oppong Appiagyei; … - In: Research in globalization 8 (2024), pp. 1-23

Index (FTSERI). We employed Rényi transfer entropy estimates to measure the information flow between the stocks returns. To …

Persistent link: https://www.econbiz.de/10015047811

Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets

Boateng, Ebenezer; Asafo-Adjei, Emmanuel; Gatsi, John … - In: Oeconomia Copernicana 13 (2022) 3, pp. 699-743

Persistent link: https://www.econbiz.de/10013449327

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

Qabhobho, Thobekile; Asafo-Adjei, Emmanuel; Owusu … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 5, pp. 472-481

Persistent link: https://www.econbiz.de/10013450599

Susceptibility of stock market returns to international economic policy: Evidence from effective transfer entropy of Africa with the implication for open innovation

Adam, Anokye M. - In: Journal of Open Innovation: Technology, Market, and … 6 (2020) 3, pp. 1-13

This study contributes to the scant finance literature on information flow from international economic policy uncertainty to emerging stock markets in Africa, using daily US economic policy uncertainty as a proxy and the daily stock market index for Botswana, Egypt, Ghana, Kenya, Morocco,...

Persistent link: https://www.econbiz.de/10012620380

Susceptibility of stock market returns to international economic policy : evidence from effective transfer entropy of Africa with the implication for open innovation

Adam, Anokye M. - In: Journal of open innovation : technology, market, and … 6 (2020) 3/71, pp. 1-13

Persistent link: https://www.econbiz.de/10012265507

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Dimpfl, Thomas; Peter, Franziska J. - 2014

transmission before, during, and after the financial crisis of 2007 to 2009. Our analysis draws on the concept of Rényi transfer … entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies …

Persistent link: https://www.econbiz.de/10010332136

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Dimpfl, Thomas; Peter, Franziska J. - Wirtschaftswissenschaftlichen Fakultät, … - 2014

Persistent link: https://www.econbiz.de/10010954997

The impact of the financial crisis on transatlantic information flows : an intraday analysis

Dimpfl, Thomas; Peter, Franziska Julia - 2014

Persistent link: https://www.econbiz.de/10010240602