A CEEMDAN-Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS

A CEEMDAN-Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS

We model a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between four macroeconomic variables (exchange rate, GDP, global economic policy uncertainty, and relative CPI) and stock returns of BRICS economies in the frequency-domain using the information flow theory. Th...

Full description

Saved in:
Bibliographic Details
Main Authors: Emmanuel Asafo-Adjei, Anokye Mohammed Adam, Peterson Owusu Junior, Patrick Kwashie Akorsu, Clement Lamboi Arthur
Format: Article
Language:English
Published: Wiley 2022-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2022/7871109
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items