Study of the cross-market effects of Brexit based on the improved symbolic transfer entropy GARCH model—An empirical analysis of stock–bond correlations

In this paper, we study the cross-market effects of Brexit on the stock and bond markets of nine major countries in the world. By incorporating information theory, we introduce the time-varying impact weights based on symbolic transfer entropy to improve the traditional GARCH model. The empirical re...

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Detalles Bibliográficos
Autores principales: Chen, Xiurong, Tian, Yixiang, Zhao, Rubo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2017
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5560545/
https://www.ncbi.nlm.nih.gov/pubmed/28817712
http://dx.doi.org/10.1371/journal.pone.0183194

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5560545/
https://www.ncbi.nlm.nih.gov/pubmed/28817712
http://dx.doi.org/10.1371/journal.pone.0183194

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