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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2017
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| Materias: | |
| 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 |