Study of the cross-market effects of Brexit based on the improved symbolic transfer entropy GARCH model-An empirical analysis of stock-bond correlations.

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ID: 69881
2017
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Abstract
In this paper, we study the cross-market effects of Brexit on the stock and bond markets of nine major countries in the world. By incorporating information theory, we introduce the time-varying impact weights based on symbolic transfer entropy to improve the traditional GARCH model. The empirical results show that under the influence of Brexit, flight-to-quality not only commonly occurs between the stocks and bonds of each country but also simultaneously occurs among different countries. We also find that the accuracy of the time-varying symbolic transfer entropy GARCH model proposed in this paper has been improved compared to the traditional GARCH model, which indicates that it has a certain practical application value.
Reference Key
chen2017studyplos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Chen, Xiurong;Tian, Yixiang;Zhao, Rubo;
Journal PloS one
Year 2017
DOI
10.1371/journal.pone.0183194
URL
Keywords
ambient fine particles bayesian mcmc method generalized poisson integer-valued garch over-dispersion posterior odds ratio

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