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The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets
We propose here a method to analyze whether financial and macroeconomic shocks influence the entropy of financial networks. We derive a measure of entropy using the correlation matrix of the stock market components of the DOW Jones Industrial Average (DJIA) index. Using VAR models in different speci...
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| Publicat a: | Entropy (Basel) |
|---|---|
| Autors principals: | , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI
2019
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7514798/ https://ncbi.nlm.nih.gov/pubmed/33267030 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e21030316 |
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