Abstract
This paper investigates the causality and complexity evolution of two major crude oil returns and eight representative stock returns globally. Utilizing multiple methodologies originated from information theory and physics, i.e., the Kernel method Granger Causality Index and the Transfer Entropy, this study aims to provide new insights into the interrelationship between oil and equity markets. The study also applies the Sample Entropy to...
Paper Details
Title
Dynamic complexity and causality of crude oil and major stock markets
Published Date
Feb 1, 2020
Journal
Volume
193
Pages
116791 - 116791
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