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dc.contributor.author
Matesanz, David
dc.contributor.author
Ortega, Guillermo José
dc.date.available
2024-09-18T13:33:25Z
dc.date.issued
2011-11
dc.identifier.citation
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
dc.identifier.issn
0129-1831
dc.identifier.uri
http://hdl.handle.net/11336/244557
dc.description.abstract
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.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
World Scientific
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Econophysics
dc.subject
real exchange rate
dc.subject
MST
dc.subject.classification
Otras Ciencias Físicas
dc.subject.classification
Ciencias Físicas
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
A (econophysics) note on volatility in exchange rate time series: Entropy as a ranking criterion
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2024-09-18T13:08:19Z
dc.journal.volume
19
dc.journal.number
07
dc.journal.pagination
1095-1103
dc.journal.pais
Singapur
dc.description.fil
Fil: Matesanz, David. Universidad de Oviedo; España
dc.description.fil
Fil: Ortega, Guillermo José. Universidad Nacional de Quilmes. Departamento de Ciencia y Tecnología; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
International Journal of Modern Physics C
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1142/S0129183108012789
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