Information flow dynamics between geopolitical risk and major asset returns.
We quantify information flows between geopolitical risk (GPR) and global financial assets such as equity, bonds, and commodities, with a focus on the Russian-Ukrainian conflict. We combine transfer entropy and the I-CEEMDAN framework to measure information flows at multi-term scales. Our empirical r...
Main Authors: | Zaghum Umar, Ahmed Bossman, Sun-Yong Choi, Xuan Vinh Vo |
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Format: | Article |
Language: | English |
Published: |
Public Library of Science (PLoS)
2023-01-01
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Series: | PLoS ONE |
Online Access: | https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0284811&type=printable |
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