Journal article 198 views
Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach
Zouhaier Dhifaoui,
Rabeh Khalfaoui,
Abedin Abedin,
Baofeng Shi
Finance Research Letters, Volume: 49, Start page: 103138
Swansea University Author: Abedin Abedin
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DOI (Published version): 10.1016/j.frl.2022.103138
Abstract
Measuring the strength and direction of information flow between markets plays a vital role for investors and policymakers. In this study, we propose a novel approach: the empirical mode decomposition variable lag relative transfer entropy (EMD-VL relative transfer entropy) to assess the pairwise re...
| Published in: | Finance Research Letters |
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| ISSN: | 1544-6123 1544-6131 |
| Published: |
Elsevier BV
2022
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa64249 |
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| Abstract: |
Measuring the strength and direction of information flow between markets plays a vital role for investors and policymakers. In this study, we propose a novel approach: the empirical mode decomposition variable lag relative transfer entropy (EMD-VL relative transfer entropy) to assess the pairwise relative causal information transfer over time and scale. Using clean and dirty energy, carbon, and precious metals, we show strong evidence of bidirectional causal information transmission between markets over time-frequency domain. |
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| Keywords: |
EMD decomposition, Transfer entropy, Information flow, Clean energy, Precious metals, Crude oil |
| College: |
Faculty of Humanities and Social Sciences |
| Funders: |
This work was supported in part by the National Natural Science Foundation of China (Nos. 72173096, 71873103), the Key Project of National Natural Science Foundation of China (No. 71731003). Shi acknowledges financial support from the Tang Scholar Program of Northwest A&F University (No. 2021-04). |
| Start Page: |
103138 |