Artículo
A (econophysics) note on volatility in exchange rate time series: Entropy as a ranking criterion
Fecha de publicación:
11/2011
Editorial:
World Scientific
Revista:
International Journal of Modern Physics C
ISSN:
0129-1831
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
We propose a volatility and uncertainty country ranking based on the entropic analysis of the real exchange rate dynamics. We show that this ranking is highly correlated with the volatility in the gross domestic product after events of currency crises. By comparing entropy with variance ranking we demonstrate that entropy measures better volatility effects of crises.
Palabras clave:
Econophysics
,
real exchange rate
,
MST
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Colecciones
Articulos(SEDE CENTRAL)
Articulos de SEDE CENTRAL
Articulos de SEDE CENTRAL
Citación
Matesanz, David; Ortega, Guillermo José; A (econophysics) note on volatility in exchange rate time series: Entropy as a ranking criterion; World Scientific; International Journal of Modern Physics C; 19; 07; 11-2011; 1095-1103
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