Information Loss Indicators Using MATLAB Code

Versione 1.0.0 (357 KB) da Dionisis Philippas

Investors’ attention and information losses under market stress

https://doi.org/10.1016/j.jebo.2021.09.040

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Aggiornato 5 nov 2021

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Matlab code for the Information Loss indicators. It contains:

1. Univariate Information Loss indicator

2. PCA

3. Composite Information Loss

4. Time-varying covariance and correlations for Composite indicator

5. Data

Please check and cite:

https://doi.org/10.1016/j.jebo.2021.09.040

Cita come

Philippas D., Gaina C., Goutte S., and Nguyen D. 2021. Investors’ attention and Information Losses under market stress. Journal of Economic Behavior & Organisation, 191, 1112–1127, [https://doi.org/10.1016/j.jebo.2021.09.040].

Compatibilità della release di MATLAB

Creato con R2016b

Compatibile con qualsiasi release

Compatibilità della piattaforma

Windows macOS Linux

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Matlab Codes

Versione	Pubblicato	Note della release
1.0.0	5 nov 2021		Scarica