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Rényi’s information transfer between financial time series

Citations

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Cited by:

  1. Jizba, Petr & Korbel, Jan, 2014. "Multifractal diffusion entropy analysis: Optimal bin width of probability histograms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 438-458.
  2. Neto, David, 2021. "Are Google searches making the Bitcoin market run amok? A tail event analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  3. Hassad de Andrade, Liz & Moreira Antunes, Jorge Junio & Araújo de Medeiros, Antônio Mamede & Wanke, Peter & Nunes, Bernardo Pereira, 2022. "The impact of social welfare and COVID-19 stringency on the perceived utility of food apps: A hybrid MCDM approach," Socio-Economic Planning Sciences, Elsevier, vol. 82(PB).
  4. Batra, Luckshay & Taneja, H.C., 2020. "Evaluating volatile stock markets using information theoretic measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  5. Aslanidis, Nektarios & Bariviera, Aurelio F. & López, Óscar G., 2022. "The link between cryptocurrencies and Google Trends attention," Finance Research Letters, Elsevier, vol. 47(PA).
  6. D’Amico, Guglielmo & Scocchera, Stefania & Storchi, Loriano, 2018. "Financial risk distribution in European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 252-267.
  7. Theo Diamandis & Yonathan Murin & Andrea Goldsmith, 2018. "Ranking Causal Influence of Financial Markets via Directed Information Graphs," Papers 1801.06896, arXiv.org.
  8. Movaghari, Hadi & Serletis, Apostolos & Sermpinis, Georgios, 2024. "Money demand stability: New evidence from transfer entropy," International Economics, Elsevier, vol. 179(C).
  9. Assaf, Ata & Bilgin, Mehmet Huseyin & Demir, Ender, 2022. "Using transfer entropy to measure information flows between cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
  10. Ebenezer Boateng & Emmanuel Asafo-Adjei & John Gartchie Gatsi & ªtefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2022. "Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 699-743, September.
  11. Neto, David, 2022. "Revisiting spillovers between investor attention and cryptocurrency markets using noisy independent component analysis and transfer entropy," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  12. Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
  13. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
  14. Almeida, Dora & Dionísio, Andreia & Ferreira, Paulo, 2024. "Information flow dynamics between cryptocurrency returns and electricity consumption: A comparative analysis of Bitcoin and Ethereum," Finance Research Letters, Elsevier, vol. 68(C).
  15. Sun, Xiaotian & Fang, Wei & Gao, Xiangyun & An, Sufang & Liu, Siyao & Wu, Tao, 2021. "Time-varying causality inference of different nickel markets based on the convergent cross mapping method," Resources Policy, Elsevier, vol. 74(C).
  16. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Business and Economics Working Papers 210, Unidade de Negocios e Economia, Insper.
  17. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
  18. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 1-13.
  19. Kihwan Jo & Gahyun Choi & Jongwook Jeong & Kwangwon Ahn, 2023. "Information flow among stocks, bonds, and convertible bonds," PLOS ONE, Public Library of Science, vol. 18(3), pages 1-12, March.
  20. Lu, Jingen & Chen, Xiaohong & Liu, Xiaoxing, 2018. "Stock market information flow: Explanations from market status and information-related behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 837-848.
  21. Evangelos Ioannidis & Iordanis Sarikeisoglou & Georgios Angelidis, 2023. "Portfolio Construction: A Network Approach," Mathematics, MDPI, vol. 11(22), pages 1-24, November.
  22. Sihyun An & Jihae Kim & Gahyun Choi & Hanwool Jang & Kwangwon Ahn, 2024. "The effect of rare events on information-leading role: evidence from real estate investment trusts and overall stock markets," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  23. Nie, Chun-Xiao, 2023. "Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices," Finance Research Letters, Elsevier, vol. 54(C).
  24. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  25. Palazzi, Rafael Baptista & Schich, Sebastian & de Genaro, Alan, 2025. "Stablecoins as anchors? Unraveling information flow dynamics between pegged and unpegged crypto-assets and fiat currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
  26. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  27. Caferra, Rocco, 2022. "Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  28. Dima, Bogdan & Dima, Ştefana Maria & Barna, Flavia, 2014. "The signaling effect of tax rates under fiscal competition: A (Shannonian) transfer entropy approach," Economic Modelling, Elsevier, vol. 42(C), pages 373-381.
  29. Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
  30. Ferreira, Paulo & Almeida, Dora & Dionísio, Andreia & Bouri, Elie & Quintino, Derick, 2022. "Energy markets – Who are the influencers?," Energy, Elsevier, vol. 239(PA).
  31. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
  32. Samar K. Guharay & Gaurav S. Thakur & Fred J. Goodman & Scott L. Rosen & Daniel Houser, 2016. "Integrated data-driven analytics to identify instability signatures in nonstationary financial time series," Applied Economics, Taylor & Francis Journals, vol. 48(18), pages 1678-1694, April.
  33. Sensoy, Ahmet & Sobaci, Cihat & Sensoy, Sadri & Alali, Fatih, 2014. "Effective transfer entropy approach to information flow between exchange rates and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 68(C), pages 180-185.
  34. Lakshmi Kanta Patra & Suchandan Kayal & Somesh Kumar, 2020. "Estimating a function of scale parameter of an exponential population with unknown location under general loss function," Statistical Papers, Springer, vol. 61(6), pages 2511-2527, December.
  35. Xie, Wen-Jie & Yong, Yang & Wei, Na & Yue, Peng & Zhou, Wei-Xing, 2021. "Identifying states of global financial market based on information flow network motifs," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  36. Toan Luu Duc Huynh & Muhammad Shahbaz & Muhammad Ali Nasir & Subhan Ullah, 2024. "Correction to: Financial modelling, risk management of energy instruments and the role of cryptocurrencies," Annals of Operations Research, Springer, vol. 332(1), pages 1273-1273, January.
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