کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10134516 1645626 2018 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analyzing volatility transmission using group transfer entropy
ترجمه فارسی عنوان
تحلیل انتقال تغییرات با استفاده از آنتروپی انتقال گروهی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
We analyze the transmission of volatility between the oil, stock, gold, and currency markets using transfer entropy. Our approach, which we denote by group transfer entropy, measures the overall sensitivity of a process to lagged realizations of a group of other processes. We supplement our measure by a suitable block bootstrap approach which allows to conduct inference. Our empirical analysis uses daily data of OVX, VIX, GVZ, and EVZ from 2008 to 2017. The results show that oil and stock market volatility are the most affected by past volatility changes in the other markets, which highlights the importance for investors to hedge against this predictable risk transmission. Furthermore, we show that group transfer entropy can unveil nonlinear dynamics beyond the standard vector autoregressive methodology and provides a useful basis for forecast averaging.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 75, September 2018, Pages 368-376
نویسندگان
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