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The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
We propose here a method to analyze whether financial and macroeconomic shocks influence the entropy of financial networks. We derive a measure of entropy using the correlation matrix of the stock market components of the DOW Jones Industrial Average (DJIA) index. Using VAR models in different speci...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514798/ https://www.ncbi.nlm.nih.gov/pubmed/33267030 http://dx.doi.org/10.3390/e21030316 |