30 citations · 73 across the 6 of their papers we have counts for
6 papers
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…
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…
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…
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…
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…
Data manipulation detection via permutation information theory quantifiers
Aurelio Fernandez Bariviera, M. Belén Guercio, Lisana B. Martinez
Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim…