Registro completo de metadatos
| Campo DC | Valor | Lengua/Idioma |
|---|---|---|
| dc.creator | Zunino, Luciano José | - |
| dc.creator | Fernández Bariviera, Aurelio | - |
| dc.creator | Guercio, María Belén | - |
| dc.creator | Martinez, Lisana Belén | - |
| dc.creator | Rosso, Osvaldo Aníbal | - |
| dc.date | 2018-09-12T18:31:10Z | - |
| dc.date | 2018-09-12T18:31:10Z | - |
| dc.date | 2012-09-15 | - |
| dc.date | 2018-09-11T18:12:29Z | - |
| dc.date.accessioned | 2019-04-29T15:51:45Z | - |
| dc.date.available | 2019-04-29T15:51:45Z | - |
| dc.date.issued | 2012-09-15 | - |
| dc.identifier | Zunino, Luciano José; Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; On the efficiency of sovereign bond markets; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 391; 18; 15-9-2012; 4342-4349 | - |
| dc.identifier | 0378-4371 | - |
| dc.identifier | http://hdl.handle.net/11336/59368 | - |
| dc.identifier | CONICET Digital | - |
| dc.identifier | CONICET | - |
| dc.identifier.uri | http://rodna.bn.gov.ar:8080/jspui/handle/bnmm/304008 | - |
| dc.description | The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors', but also from the issuers' point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors. | - |
| dc.description | 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: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España | - |
| dc.description | Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España | - |
| dc.description | Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca; Argentina. Universitat Rovira I Virgili; España | - |
| dc.description | Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidade Federal de Alagoas; Brasil. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; Argentina | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.format | application/pdf | - |
| dc.language | eng | - |
| dc.publisher | Elsevier Science | - |
| dc.relation | info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.physa.2012.04.009 | - |
| dc.relation | info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437112003020 | - |
| dc.rights | info:eu-repo/semantics/openAccess | - |
| dc.rights | https://creativecommons.org/licenses/by-nc-nd/2.5/ar/ | - |
| dc.source | reponame:CONICET Digital (CONICET) | - |
| dc.source | instname:Consejo Nacional de Investigaciones Científicas y Técnicas | - |
| dc.source | instacron:CONICET | - |
| dc.subject | BANDT AND POMPE METHOD | - |
| dc.subject | COMPLEXITY-ENTROPY CAUSALITY PLANE | - |
| dc.subject | ORDINAL TIME SERIES ANALYSIS | - |
| dc.subject | PERMUTATION ENTROPY | - |
| dc.subject | PERMUTATION STATISTICAL COMPLEXITY | - |
| dc.subject | SOVEREIGN BOND MARKET EFFICIENCY | - |
| dc.subject | Economía, Econometría | - |
| dc.subject | Economía y Negocios | - |
| dc.subject | CIENCIAS SOCIALES | - |
| dc.title | On the efficiency of sovereign bond markets | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| dc.type | info:ar-repo/semantics/articulo | - |
| Aparece en las colecciones: | CONICET | |
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