The Impact of Financial and Macroeconomic Shocks on the Entropy of Financial Markets

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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Bibliographic Details
Main Authors: Sorin Anagnoste, Petre Caraiani
Format: Article
Language:English
Published: MDPI AG 2019-03-01
Series:Entropy
Subjects:
entropy
financial markets
monetary policy
networks
Online Access:https://www.mdpi.com/1099-4300/21/3/316

Internet

https://www.mdpi.com/1099-4300/21/3/316

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