Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10482147 | Physica A: Statistical Mechanics and its Applications | 2012 | 8 Pages |
Abstract
⺠Efficiency of sovereign bond markets is analyzed. ⺠The complexity-entropy causality plane is implemented to reach this goal. ⺠Correlations and hidden structures in the daily values of bond indices are unveiled. ⺠Consistency with qualifications assigned by major rating companies is obtained. ⺠A link between the entropy measure, economic growth and market size is also found.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Luciano Zunino, Aurelio Fernández Bariviera, M. Belén Guercio, Lisana B. Martinez, Osvaldo A. Rosso,