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 2016Show all

2 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…