Year-end Sale % OFF 
Abstract
We apply the concept of transfer entropy to quantify information flows between financial time series. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. This approach allows to determine information transfer without being restricted to linear dynamics. We further develop a bootstrap procedure in order to allow for statistical inference of the estimates. In our empirical application, we examine the importance of the CDS and bond market for the process of pricing credit risk as well as the dynamic relation between market risk and credit risk proxied by the iTraxx Europe and the VIX.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
