Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story

DOI10.1016/J.ECONLET.2022.110460zbMath1493.91137OpenAlexW4221058692MaRDI QIDQ2158341

David Neto

Publication date: 26 July 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110460

zbMATH Keywords

transfer entropyfinancial contagioncryptocurrencymedia attention

Mathematics Subject Classification ID

Measures of information, entropy (94A17) Actuarial science and mathematical finance (91G99) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• RTransferEntropy

Cites Work

• Granger causality in risk and detection of extreme risk spillover between financial markets
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Price clustering in bitcoin
• A Note on the Hiemstra-Jones Test for Granger Non-causality
• The General Theory of Employment, Interest, and Money
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Testing for Granger-causality in quantiles
• Using transfer entropy to measure information flows between financial markets
• Dependence measures for extreme value analyses

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