Applications

R software package written to implement the measuring of information flows between time series with Shannon and Rényi transfer entropy. See also Dimpfl and Peter (2013) and Dimpfl and Peter (2014) for theory and applications to financial time series. Additional references can be found in the theory part of the vignette. The package is written in collaboration with Simon Behrendt, Franziska Peter, and David Zimmermann (see RTransferEntropy - Quantifying information flow between different time series using effective transfer entropy, SoftwareX, Volume 10, 2019).

Available on CRAN.

The methodology to construct the index is explained in the working paper A Safe Haven Index

The index data can be downloaded here (last update: 27 January 2022)