Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy
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- 作者：Luciano Zuninoa ; b ; lucianoz@ciop.unlp.edu.ar" class="auth_mail" title="E-mail the corresponding author ; Aurelio F. Barivierac ; aurelio.fernandez@urv.net" class="auth_mail" title="E-mail the corresponding author ; M. Belé ; n Guerciod ; e ; mbguercio@iiess-conicet.gob.ar" class="auth_mail" title="E-mail the corresponding author ; Lisana B. Martinezd ; e ; lbmartinez@iiess-conicet.gob.ar" class="auth_mail" title="E-mail the corresponding author ; Osvaldo A. Rossof ; g ; h ; oarosso@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Informational efficiency ; European corporate bond markets ; Financial crisis ; Long-range dependence ; Permutation min-entropy ; Ordinal patterns probabilities
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：15 August 2016
- 年：2016
- 卷：456
- 期：Complete
- 页码：1-9
- 全文大小：1718 K
文摘
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Informational efficiency of corporate bond markets is studied.
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Permutation min-entropy is implemented to unveil hidden temporal structures.
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Effects of the 2008 credit crisis are addressed.
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Heterogeneous impact of the crisis on different economic sectors is confirmed.
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Sectors related to the financial economy are more vulnerable to the crisis impact.
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