16 citations · 25 across the 2 of their papers we have counts for
2 papers
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…