Effective transfer entropy to measure information flows in credit markets

DOI10.1007/s10260-021-00614-1OpenAlexW3216402313MaRDI QIDQ2082476

Nicoló Andrea Caserini, Paolo Pagnottoni

Publication date: 4 October 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-021-00614-1

zbMATH Keywords

bond marketcredit riskrisk managementcredit default swaptransfer entropyprice discovery

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• RTransferEntropy

Cites Work

• A Mathematical Theory of Communication
• Effective transfer entropy approach to information flow between exchange rates and stock markets
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• Financial contagion through space-time point processes
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• Estimating rating transition probabilities with missing data
• Sovereign risk in the Euro area: a multivariate stochastic process approach
• Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts
• On Information and Sufficiency
• Using transfer entropy to measure information flows between financial markets

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