2 papers
q-fin.ST2016
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
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…