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dc.contributor.author
Zunino, Luciano José
dc.contributor.author
Fernández Bariviera, Aurelio
dc.contributor.author
Guercio, María Belén
dc.contributor.author
Martinez, Lisana Belén
dc.contributor.author
Rosso, Osvaldo Aníbal
dc.date.available
2018-05-04T15:35:46Z
dc.date.issued
2016-03
dc.identifier.citation
Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 456; 3-2016; 1-9
dc.identifier.issn
0378-4371
dc.identifier.uri
http://hdl.handle.net/11336/44136
dc.description.abstract
In this paper the permutation min-entropy has been implemented to unveil the presence of temporal structures in the daily values of European corporate bond indices from April 2001 to August 2015. More precisely, the informational efficiency evolution of the prices of fifteen sectorial indices has been carefully studied by estimating this informationtheory- derived symbolic tool over a sliding time window. Such a dynamical analysis makes possible to obtain relevant conclusions about the effect that the 2008 credit crisis has had on the different European corporate bond sectors. It is found that the informational efficiency of some sectors, namely banks, financial services, insurance, andbasic resources, has been strongly reduced due to the financial crisis whereas another set of sectors, integrated by chemicals, automobiles, media, energy, construction, industrial goods & services, technology, and telecommunications has only suffered a transitory loss of efficiency. Last but not least, the food & beverage, healthcare, and utilities sectors show behavior close to a random walk practically along all the period of analysis, confirming a remarkable immunity against the 2008 financial crisis.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier Science
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Informational Efficiency
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European Corporate Bond Markets
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Financial Crisis
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Long-Range Dependence
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Permutation Min-Entropy
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Ordinal Patterns Probabilities
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Astronomía
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Ciencias Físicas
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CIENCIAS NATURALES Y EXACTAS
dc.title
Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-05-03T14:11:59Z
dc.journal.volume
456
dc.journal.pagination
1-9
dc.journal.pais
Países Bajos
dc.journal.ciudad
Amsterdam
dc.description.fil
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina. Universidad Nacional de La Plata. Facultad de Ingeniería; Argentina
dc.description.fil
Fil: Fernández Bariviera, Aurelio. 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; Colombia. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
Physica A: Statistical Mechanics and its Applications
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.physa.2016.03.007
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437116002788
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