We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine,...

We examine price discovery in the Credit Default Swap and corporate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares during tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS...

We analyze intraday model-free implied volatility for a large sample of individual equities. For that purpose we adapt the CBOE VIX methodology and derive an intraday measure based on 1-minute option data. Within a review of the model-free IV theory and CBOE replication methodology we highlight...