Concepedia

Exchange rate volatility connectedness during Covid-19 outbreak: DECO-GARCH and Transfer Entropy approaches

Ngô Thái Hưng, Linh Thi My Nguyen, Xuan Vinh Vo

Journal of International Financial Markets Institutions and Money · 2022 · 28 citations · 72 references

DOIFull text

Open access

Concepts

References

72

A Mathematical Theory of Communication

Claude E. Shannon · Bell System Technical Journal · 1948 · 80.7K citations

, , +11

On Information and Sufficiency

S. Kullback, R. A. Leibler · The Annals of Mathematical Statistics · 1951 · 20K citations · Full text

, , +6

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold, Kamil Yılmaz · International Journal of Forecasting · 2011 · 5.5K citations

, , +17

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

A. Ian McLeod, W. K. Li · Journal of Time Series Analysis · 1983 · 1.1K citations

, , +16

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Robert F. Engle, Takatoshi Ito, Wenling Lin · Econometrica · 1990 · 863 citations · Full text

, , +17