Search Results - subject:"transfer entropy"

A temporal information transfer network approach considering federal funds rate for an interpretable asset fluctuation prediction framework

Choi, Insu; Kim, Woo Chang - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10015204675

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

Money demand stability : new evidence from transfer entropy

Movaghari, Hadi; Serletis, Apostolos; Sempinis, Georgios - In: International economics : the quarterly journal in … 179 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015101587

Asymmetric information flow between exchange rate, oil, and gold: New evidence from transfer entropy approach

Maiti, Moinak; Kayal, Parthajit - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-14

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow … variables is asymmetric. The highest transfer entropy was observed for GoldÇEUR/USD among all the pairs under consideration. …

Persistent link: https://www.econbiz.de/10014332777

Asymmetric information flow between exchange rate, oil, and gold : new evidence from transfer entropy approach

Maiti, Moinak; Kayal, Parthajit - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-14

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow … variables is asymmetric. The highest transfer entropy was observed for Gold→EUR/USD among all the pairs under consideration. …

Persistent link: https://www.econbiz.de/10014301581

Investor reaction to ESG news sentiment : evidence from South Africa

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Economia : revista da ANPEC 24 (2023) 1, pp. 68-85

/methodology/approach The authors use Shannonian transfer entropy to examine whether information significantly flows from ESG news sentiment to … sentiment. Findings Using Shannonian transfer entropy, the authors find that for the majority of the companies studied …

Persistent link: https://www.econbiz.de/10014418091

Impact of COVID-19 on the contagion effect of risks in the banking industry : based on transfer entropy and social network analysis method

Yijun, Wang; Yu, Zhang; Bashir, Usman - In: Risk management : an international journal 25 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014251440

Stock market integration in Africa : further evidence from an information-theoretic framework

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: International finance : the only journal bridging the … 26 (2023) 1, pp. 2-18

Persistent link: https://www.econbiz.de/10014252168

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

2020, using the Rényi effective transfer entropy. International economic policy uncertainty transmits significant …

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

2020, using the Rényi effective transfer entropy. International economic policy uncertainty transmits significant …

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