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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E; McAleer, Michael; Powell, Robert; … - School of Business, Edith Cowan University - 2013

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacifc). We explore the relationship between the S&P 500 daily continuously compounded...

Persistent link: https://www.econbiz.de/10010852170

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

Allen, David E. - 2012

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

Persistent link: https://www.econbiz.de/10013101770

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009765843

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009711717

An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2016

Persistent link: https://www.econbiz.de/10011477211

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011555743

An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692

Persistent link: https://www.econbiz.de/10011810876

An entropy based analysis of the relationship between the DOW JONES Index and the TRNA sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2016

This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Industry Research Centre of the Asia Pacic). The...

Persistent link: https://www.econbiz.de/10011456716

Multiscale lead-lag relationships in oil and refined product return dynamics : a symbolic wavelet transfer entropy approach

Storhas, Dominik P.; De Mello, Lurion; Singh, Abhay Kumar - In: Energy economics 92 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012519989