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Analyzing Volatility Transmission Using Group Transfer Entropy
Wirtschaftswissenschaften
Autoren:
Thomas Dimpfl, Franziska J. Peter
Titel:
Analyzing Volatility Transmission Using Group Transfer Entropy
Kurzzitat:
Thomas Dimpfl, Franziska J. Peter: Analyzing Volatility Transmission Using Group Transfer Entropy, Energy Economics, 2018 (75): 368-376.
Publikationstyp:
Originalarbeiten in wissenschaftlichen
Fachzeitschriften mit Review-Verfahren
Abstract:
We analyze the transmission of volatility between the oil, stock, gold, and currency markets using transfer entropy. Our approach, which we denote by group transfer entropy, measures the overall sensitivity of a process to lagged realizations of a group of other processes. We supplement our measure by a suitable block bootstrap approach which allows to conduct inference. Our empirical analysis uses daily data of OVX, VIX, GVZ, and EVZ from 2008 to 2017. The results show that oil and stock market volatility are the most affected by past volatility changes in the other markets, which highlights the importance for investors to hedge against this predictable risk transmission. Furthermore, we show that group transfer entropy can unveil nonlinear dynamics beyond the standard vector autoregressive methodology and provides a useful basis for forecast averaging.
Kontakt:
Lehrstuhl für empirische Kapitalmarkforschung und Ökonometrie
Am Seemooser Horn 20 88045 Friedrichshafen
Tel: 0754160092231 Email: Franziska.Peter@zu.de
https://www.zu.de/lehrstuehle/oekono/index.php
Forschungsbericht der Abteilung für das Jahr 2018 |