3 papers
q-fin.ST2015
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
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
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…