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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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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...

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Published in: Finance Research Letters
ISSN: 1544-6123 1544-6131
Published: Elsevier BV 2022
Online Access: Check full text

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.
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