Artículo de Publicación Periódica:
Libor at crossroads: stochastic switching detection using information theory quantifiers

dc.contributor.authorFernández Bariviera, Aurelio
dc.contributor.authorGuercio, M. Belén
dc.contributor.authorMartinez, Lisana B.
dc.contributor.authorRosso, Osvaldo A.
dc.dateinfo:eu-repo/date/embargoEnd/2018-07-31
dc.date.accessioned2022-04-26T20:25:41Z
dc.date.available2022-04-26T20:25:41Z
dc.date.issued2016-07
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."en
dc.identifier.issn0960-0779
dc.identifier.urihttp://ri.itba.edu.ar/handle/123456789/3822
dc.language.isoenen
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/ 10.1016/j.chaos.2016.02.009
dc.relationinfo:eu-repo/grantAgreement/CONICET. Ciudad Autónoma de Buenos Aires
dc.rightsinfo:eu-repo/semantics/embargoedAccess
dc.subjectCOMERCIOes
dc.subjectENTROPIAes
dc.subjectTEORIA DE LA INFORMACIONes
dc.subjectANALISIS DE SERIES DE TIEMPOes
dc.subjectTEORIA DE LA CONMUTACIONes
dc.titleLibor at crossroads: stochastic switching detection using information theory quantifiersen
dc.typeArtículos de Publicaciones Periódicases
dc.typeinfo:eu-repo/semantics/acceptedVersion
dspace.entity.typeArtículo de Publicación Periódica
itba.description.filiationFil: Fernández Bariviera, Aurelio. Universitat Rovira i Virgili; España.
itba.description.filiationFil: Guercio, M. Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina.
itba.description.filiationFil: Martinez, Lisana B. Universidad Provincial del Sudoeste; Argentina.
itba.description.filiationFil: Rosso, Osvaldo A. Universidade Federal de Alagoas; Brasil.
itba.description.filiationFil: Rosso, Osvaldo A. Instituto Tecnológico de Buenos Aires; Argentina.
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