94 citations · 885 across the 28 of their papers we have counts for
Showing 2015 · q-fin.STShow all
2 papers · 2 filters
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…