Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets
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DOI: 10.24136/oc.2022.021
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More about this item
Keywords
shocks transmission; information flow; Rényi transfer entropy; multi-scale; market conditions;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G01 - Financial Economics - - General - - - Financial Crises
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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