output
20152022
most citedThe (in)visible hand in the Libor market: an Information Theory approach

30 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing q-fin.STShow all

5 papers · 1 filter

q-fin.ST2016★ 6 cited

The impact of the financial crisis on the long-range memory of European corporate bond and stock markets

Lisana B. Martinez, M. Belen Guercio, Aurelio F. Bariviera +1

This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst expone…

q-fin.ST2016★ 9 cited

Libor at crossroads: stochastic switching detection using information theory quantifiers

Aurelio F. Bariviera, M. Belen Guercio, Lisana B. Martinez +1

This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel techni…

q-fin.ST2015★ 16 cited

Efficiency and credit ratings: a permutation-information-theory analysis

Aurelio F. Bariviera, Luciano Zunino, M. Belen Guercio +2

The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational effi…

q-fin.ST2015★ 9 cited

A permutation Information Theory tour through different interest rate maturities: the Libor case

Aurelio F. Bariviera, M. Belen Guercio, Lisana B. Martinez +1

This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2…

q-fin.ST2015★ 30 cited

The (in)visible hand in the Libor market: an Information Theory approach

Aurelio F. Bariviera, M. Belén Guercio, Lisana B. Martinez +1

This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in th…