Impact of the Global Fear Index (COVID-19 Panic) on the S&P Global Indices Associated with Natural Resources, Agribusiness, Energy, Metals, and Mining: Granger Causality and Shannon and Rényi Transfer Entropy

Impact of the Global Fear Index (COVID-19 Panic) on the S&P Global Indices Associated with Natural Resources, Agribusiness, Energy, Metals, and Mining: Granger Causality and Shannon and Rényi Transfer Entropy

The Global Fear Index (GFI) is a measure of fear/panic based on the number of people infected and deaths due to COVID-19. This paper aims to examine the interconnection or interdependencies between the GFI and a set of global indexes related to the financial and economic activities associated with n...

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Bibliographic Details
Main Authors: Pedro Celso-Arellano, Victor Gualajara, Semei Coronado, Jose N. Martinez, Francisco Venegas-Martínez
Format: Article
Language:English
Published: MDPI AG 2023-02-01
Series:Entropy
Subjects:
global indices
co-movement
Granger causality
DCC-GARCH
Online Access:https://www.mdpi.com/1099-4300/25/2/313

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