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Subject
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Effective transfer entropy 1 exchange rates 1 information theory 1 stock markets 1 symbolic encoding 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Alali, Fatih 1 Sensoy, Ahmet 1 Sensoy, Sadri 1 Sobaci, Cihat 1
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Research Department, Borsa İstanbul 1
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Working Paper / Research Department, Borsa İstanbul 1
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RePEc 1
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Effective Transfer Entropy Approach To Information Flow Between Exchange Rates And Stock Markets
Sensoy, Ahmet; Sobaci, Cihat; Sensoy, Sadri; Alali, Fatih - Research Department, Borsa İstanbul - 2014
countries by the novel concept of effective transfer entropy (an alternative non-linear causality measure) with symbolic … encoding methodology. Analysis shows that before the 2008 crisis, only low level interaction exists between these two variables …
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