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2012-08-23Diskussionspapier DOI: 10.18452/4424
Using transfer entropy to measure information flows between financial markets
dc.contributor.authorDimpfl, Thomas
dc.contributor.authorPeter, Franziska J.
dc.date.accessioned2017-06-16T00:43:15Z
dc.date.available2017-06-16T00:43:15Z
dc.date.created2012-11-16
dc.date.issued2012-08-23
dc.date.submitted2012-08-23
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5076
dc.description.abstractWe use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine, measure and test for information transfer without being restricted to linear dynamics. In our empirical application, we examine the importance of the credit default swap market relative to the corporate bond market for the pricing of credit risk. We also analyze the dynamic relation between market risk and credit risk proxied by the VIX and the iTraxx Europe, respectively. We conduct the analyses for pre-crisis, crisis and post-crisis periods.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectentropyeng
dc.subjectcredit riskeng
dc.subjectinformation floweng
dc.subjectnon-linear dynamicseng
dc.subjectprice discoveryeng
dc.subjectCDSeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleUsing transfer entropy to measure information flows between financial markets
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100205677
dc.identifier.doihttp://dx.doi.org/10.18452/4424
local.edoc.pages37
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2012
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2012,51

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