Information transfer across intra/inter-structure of CDS and stock markets
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DOI: 10.1016/j.physa.2017.05.084
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- Qiu, Lu & Yang, Huijie, 2020. "Transfer entropy calculation for short time sequences with application to stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
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- Choi, Insu & Lee, Myounggu & Kim, Hyejin & Kim, Woo Chang, 2023. "Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
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Keywords
Transfer entropy; Credit default swap; Information flow; Econophysics;All these keywords.
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