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 2015 · q-fin.STShow all

3 papers · 2 filters

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…