Dynamic complexity and causality of crude oil and major stock markets
暂无分享,去创建一个
[1] Claude E. Shannon,et al. A mathematical theory of communication , 1948, MOCO.
[2] C. E. SHANNON,et al. A mathematical theory of communication , 1948, MOCO.
[3] Claude E. Shannon,et al. The mathematical theory of communication , 1950 .
[4] C.E. Shannon,et al. Communication in the Presence of Noise , 1949, Proceedings of the IRE.
[5] Andrei N. Kolmogorov,et al. On the Shannon theory of information transmission in the case of continuous signals , 1956, IRE Trans. Inf. Theory.
[6] C. Granger. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .
[7] D. Ruelle,et al. Ergodic theory of chaos and strange attractors , 1985 .
[8] S M Pincus,et al. Approximate entropy as a measure of system complexity. , 1991, Proceedings of the National Academy of Sciences of the United States of America.
[9] Charles M. Jones,et al. OIL AND THE STOCK MARKETS , 1996 .
[10] Ronald W. Masulis,et al. Energy Shocks and Financial Markets , 1996 .
[11] Perry Sadorsky. Oil price shocks and stock market activity , 1999 .
[12] James D. Hamilton. What is an Oil Shock? , 2000 .
[13] J. Richman,et al. Physiological time-series analysis using approximate entropy and sample entropy. , 2000, American journal of physiology. Heart and circulatory physiology.
[14] Schreiber,et al. Measuring information transfer , 2000, Physical review letters.
[15] Yongmiao Hong. A test for volatility spillover with application to exchange rates , 2001 .
[16] B. Pompe,et al. Permutation entropy: a natural complexity measure for time series. , 2002, Physical review letters.
[17] Mine K. Yücel,et al. Energy prices and aggregate economic activity: an interpretative survey , 2002 .
[18] H. Kantz,et al. Analysing the information flow between financial time series , 2002 .
[19] R. Kálmán,et al. Irregularity, volatility, risk, and financial market time series. , 2004, Proceedings of the National Academy of Sciences of the United States of America.
[20] G. Rangarajan,et al. Multiple Nonlinear Time Series with Extended Granger Causality , 2004 .
[21] Daniele Marinazzo,et al. Radial basis function approach to nonlinear Granger causality of time series. , 2004, Physical review. E, Statistical, nonlinear, and soft matter physics.
[22] L. Kilian. Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market , 2006 .
[23] Wangxin Yu,et al. Characterization of Surface EMG Signal Based on Fuzzy Entropy , 2007, IEEE Transactions on Neural Systems and Rehabilitation Engineering.
[24] L. Kilian,et al. The Impact of Oil Price Shocks on the U.S. Stock Market , 2007 .
[25] Y. Kuniyoshi,et al. Detecting direction of causal interactions between dynamically coupled signals. , 2008, Physical review. E, Statistical, nonlinear, and soft matter physics.
[26] Daniele Marinazzo,et al. Kernel method for nonlinear granger causality. , 2007, Physical review letters.
[27] Jean-Marie Dufour,et al. Short and long run causality measures: Theory and inference , 2008 .
[28] Matthäus Staniek,et al. Symbolic transfer entropy. , 2008, Physical review letters.
[29] Chung-Ming Kuan,et al. Causality in quantiles and dynamic stock return–volume relations , 2009 .
[30] Shouyang Wang,et al. Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets , 2009 .
[31] L. Kilian,et al. How sensitive are consumer expenditures to retail energy prices , 2009 .
[32] A. Seth,et al. Granger causality and transfer entropy are equivalent for Gaussian variables. , 2009, Physical review letters.
[33] Wei Liao,et al. Kernel Granger Causality Mapping Effective Connectivity on fMRI Data , 2009, IEEE Transactions on Medical Imaging.
[34] Denis Gromb,et al. Limits of Arbitrage , 2010 .
[35] Yen‐Hsien Lee,et al. Oil sensitivity and its asymmetric impact on the stock market , 2011 .
[36] J. Álvarez-Ramírez,et al. Multiscale entropy analysis of crude oil price dynamics , 2011 .
[37] G. Filis,et al. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries , 2011 .
[38] H. Kleinert,et al. Rényi’s information transfer between financial time series , 2011, 1106.5913.
[39] Nathaniel H. Hunt,et al. The Appropriate Use of Approximate Entropy and Sample Entropy with Short Data Sets , 2012, Annals of Biomedical Engineering.
[40] Dimitris Kugiumtzis,et al. Detection of Direct Causal Effects and Application to epileptic Electroencephalogram Analysis , 2012, Int. J. Bifurc. Chaos.
[41] Perry Sadorsky,et al. Oil prices, exchange rates and emerging stock markets , 2012 .
[42] Duc Khuong Nguyen,et al. A time-varying copula approach to oil and stock market dependence: The case of transition economies , 2013 .
[43] T. Dimpfl,et al. Using Transfer Entropy to Measure Information Flows Between Financial Markets , 2013 .
[44] Zeynel Abidin Ozdemir,et al. The causal nexus between oil prices and equity market in the U.S.: A regime switching model , 2013 .
[45] A. Maghyereh,et al. Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries , 2013, Energy Economics.
[46] Dingchang Zheng,et al. Assessing the complexity of short-term heartbeat interval series by distribution entropy , 2014, Medical & Biological Engineering & Computing.
[47] Salma Fattoum,et al. Working Paper n ° : 2013-2505 Return and volatility transmission between oil prices and Oil-exporting and Oil-importing Countries , 2015 .
[48] E. Bouri,et al. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods , 2015 .
[49] E. Bouri,et al. A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market , 2015 .
[50] Limin Du,et al. Extreme risk spillovers between crude oil and stock markets , 2015 .
[51] Wensheng Kang,et al. Time-Varying Effect of Oil Market Shocks on the Stock Market , 2015 .
[52] A. Maghyereh,et al. The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes , 2016 .
[53] J. Reboredo,et al. Dependence and risk management in oil and stock markets. A wavelet-copula analysis , 2016 .
[54] Tomaso Aste,et al. Two different flavours of complexity in financial data , 2016 .
[55] James P. Crutchfield,et al. Information Flows? A Critique of Transfer Entropies , 2015, Physical review letters.
[56] Hamed Azami,et al. Dispersion Entropy: A Measure for Time-Series Analysis , 2016, IEEE Signal Processing Letters.
[57] Sajal Ghosh,et al. Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests , 2016 .
[58] P. Narayan,et al. Intraday volatility interaction between the crude oil and equity markets , 2016 .
[59] B. Ewing,et al. Volatility spillovers between oil prices and the stock market under structural breaks , 2016 .
[60] Christina D. Mikropoulou,et al. Does the S&P500 index lead the crude oil dynamics? A complexity-based approach , 2016 .
[61] Umeshkanta Singh Thounaojam,et al. Phase switching in Hindmarsh-Rose relay neurons , 2016 .
[62] A. Tiwari,et al. Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets , 2016 .
[63] M. Scheffer,et al. Complexity theory and financial regulation , 2016, Science.
[64] Sung Y. Park,et al. Crude oil and stock markets: Causal relationships in tails? , 2016 .
[65] Jun Wang,et al. Nonlinear multiscale coupling analysis of financial time series based on composite complexity synchronization , 2016, Nonlinear Dynamics.
[66] Bruce Morley,et al. How do oil prices, macroeconomic factors and policies affect the market for renewable energy? , 2017 .
[67] A. Turrell,et al. An Interdisciplinary Model for Macroeconomics , 2017 .
[68] Xiaoying Guo,et al. Oil price shocks and China's stock market , 2017 .
[69] Roberto Cipollone,et al. Improving Engine Oil Warm Up through Waste Heat Recovery , 2017 .
[70] Stelios D. Bekiros,et al. Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets , 2017, Eur. J. Oper. Res..
[71] Dayong Zhang. Oil shocks and stock markets revisited: Measuring connectedness from a global perspective , 2017 .
[72] Jun Wang,et al. Return volatility duration analysis of NYMEX energy futures and spot , 2017 .
[73] David Cuesta-Frau,et al. Noisy EEG signals classification based on entropy metrics. Performance assessment using first and second generation statistics , 2017, Comput. Biol. Medicine.
[74] D. Kayalar,et al. The impact of crude oil prices on financial market indicators: copula approach , 2017 .
[75] M. Peat,et al. Complexity in financial asset returns: Evidence from the compass rose. , 2018, Chaos.
[76] Turhan Korkmaz,et al. Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis , 2018, Energies.
[77] Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis , 2018, Energy Economics.
[78] P. Narayan,et al. What do we know about oil prices and stock returns , 2018 .
[79] Vipin Arora,et al. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence , 2018, The Energy Journal.
[80] A. Tiwari,et al. Impact of oil price risk on sectoral equity markets: Implications on portfolio management , 2018 .
[81] Wei Liu,et al. Analysis of the international propagation of contagion between oil and stock markets , 2018, Energy.
[82] Michela Gelfusa,et al. On the Use of Transfer Entropy to Investigate the Time Horizon of Causal Influences between Signals , 2018, Entropy.
[83] David Cuesta-Frau,et al. Sample Entropy Analysis of Noisy Atrial Electrograms during Atrial Fibrillation , 2018, Comput. Math. Methods Medicine.
[84] Muhammad Kamran Khan,et al. Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model , 2019, PloS one.
[85] Juan C. Rodriguez Gamboa,et al. Complexity analysis of Brazilian agriculture and energy market , 2019, Physica A: Statistical Mechanics and its Applications.
[86] Yudong Wang,et al. Risk spillovers between oil and stock markets: A VAR for VaR analysis , 2019, Energy Economics.
[87] Qiang Ji,et al. Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter? , 2019, Energy Economics.
[88] Ying Fan,et al. Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model , 2019, Energy Economics.
[89] Ladislav Kristoufek,et al. Information interdependence among energy, cryptocurrency and major commodity markets , 2019, Energy Economics.
[90] H. Gu,et al. Identifying nonlinear dynamics of brain functional networks of patients with schizophrenia by sample entropy , 2019, Nonlinear Dynamics.
[91] Bing Zhang,et al. Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States , 2019, Energy Economics.
[92] Zhaojun Li,et al. A review of entropy measures for uncertainty quantification of stochastic processes , 2019, Advances in Mechanical Engineering.
[93] Qiang Ji,et al. Oil financialisation and volatility forecast: Evidence from multidimensional predictors , 2019, Journal of Forecasting.
[94] Michela Gelfusa,et al. Causality Detection Methods Applied to the Investigation of Malaria Epidemics , 2019, Entropy.
[95] Jun Wang,et al. Linkage influence of energy market on financial market by multiscale complexity synchronization , 2019, Physica A: Statistical Mechanics and its Applications.
[96] Ana María Herrera,et al. Oil price shocks and U.S. economic activity , 2019, Energy Policy.
[97] A. Tiwari,et al. Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets , 2019, Physica A: Statistical Mechanics and its Applications.
[98] Ying Fan,et al. Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS , 2020 .