Information Flow Analysis between EPU and Other Financial Time Series
We investigate the strength and direction of information flow among economic policy uncertainty (EPU), US imports and exports to China, and the CNY/US exchange rate by using the novel concept of effective transfer entropy (ETE) with a sliding window methodology. We verify that this new method can ca...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-06-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/22/6/683 |