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dc.contributor.author
Bariviera, Aurelio F.
dc.contributor.author
Guercio, María Belén
dc.contributor.author
Martinez, Lisana Belén
dc.contributor.author
Rosso, Osvaldo Aníbal
dc.date.available
2018-04-27T19:14:26Z
dc.date.issued
2016-03
dc.identifier.citation
Bariviera, Aurelio F.; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; Libor at crossroads: stochastic switching detection using Information Theory quantifiers; Pergamon-Elsevier Science Ltd; Chaos, Solitons And Fractals; 88; 3-2016; 172-182
dc.identifier.issn
0960-0779
dc.identifier.uri
http://hdl.handle.net/11336/43704
dc.description.abstract
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 technique in financial economics: the Complexity–Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called “Libor scandal”, i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Pergamon-Elsevier Science Ltd
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.subject
Libor
dc.subject
Permutation Entropy
dc.subject
Permutation Statistical Complexity
dc.subject
Information Theory
dc.subject.classification
Astronomía
dc.subject.classification
Ciencias Físicas
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS
dc.title
Libor at crossroads: stochastic switching detection using Information Theory quantifiers
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-04-27T13:59:39Z
dc.journal.volume
88
dc.journal.pagination
172-182
dc.journal.pais
Estados Unidos
dc.description.fil
Fil: Bariviera, Aurelio F.. Universitat Rovira I Virgili; España
dc.description.fil
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
dc.description.fil
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
dc.description.fil
Fil: Rosso, Osvaldo Aníbal. Universidade Federal de Alagoas; Brasil. Instituto Tecnológico de Buenos Aires; Argentina. Universidad de los Andes; Chile. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
Chaos, Solitons And Fractals
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.chaos.2016.02.009
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0960077916300406


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