Arbeitspapier

Using transfer entropy to measure information flows between financial markets

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We 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.

Sprache
Englisch

Erschienen in
Series: SFB 649 Discussion Paper ; No. 2012-051

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
International Financial Markets
Thema
entropy
information flow
non-linear dynamics
price discovery
credit risk
CDS
Finanzmarkt
Informationsverbreitung
Entropie
Kreditderivat
Unternehmensanleihe
Theorie
Europa

Ereignis
Geistige Schöpfung
(wer)
Dimpfl, Thomas
Peter, Franziska J.
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(wo)
Berlin
(wann)
2012

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Dimpfl, Thomas
  • Peter, Franziska J.
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Entstanden

  • 2012

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