M. Belén Guercio

Independent

SCHOLARLY PAPERS

8

DOWNLOADS

267

SSRN CITATIONS
Rank 24,410

SSRN RANKINGS

Top 24,410

in Total Papers Citations

4

CROSSREF CITATIONS

32

Scholarly Papers (8)

1.

On the Efficiency of Sovereign Bond Markets

Physica A: Statistical Mechanics and Its Applications, Volume 391, Issue 18, pp. 4342-4349, 2012, DOI: 10.1016/j.physa.2012.04.009
Number of pages: 20 Posted: 13 Oct 2015
Centro de Investigaciones Opticas (CONICET La Plata - CIC), Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 74 (354,774)

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sovereign bond market efficiency, complexity-entropy causality plane, permutation entropy, permutation statistical complexity, Bandt and Pompe method, ordinal time series analysis

2.

The (In)Visible Hand in the Libor Market: An Information Theory Approach

Eur. Phys. J. B 88 (8) 208 (2015), DOI: 10.1140/epjb/e2015-60410-1
Number of pages: 19 Posted: 10 Oct 2015
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 51 (426,978)

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Econophysics, noise and chaos, Libor, entropy, complexity

3.

Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis

Journal of Statistical Mechanics: Theory and Experiment, No. 8, 2013, DOI: 10.1088/1742-5468/2013/08/P08007
Number of pages: 23 Posted: 13 Oct 2015
Rovira i Virgili University - Department of Business, Centro de Investigaciones Opticas (CONICET La Plata - CIC), Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 28 (529,348)
Citation 1

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Corporate bonds, oil and energy sectors, market efficiency, complexity-entropy causality plane, permutation entropy, permutation complexity

4.

A Permutation Information Theory Tour Through Different Interest Rate Maturities: The Libor Case

Phil. Trans. R. Soc. A 373, 2015, DOI: org/10.1098/rsta.2015.0119
Number of pages: 17 Posted: 13 Oct 2015
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 27 (535,056)

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financial crisis, Libor manipulation, interest rates, information theory, permutation entropy, Fisher information measure

5.

The Impact of the Financial Crisis on the Long-Range Memory of European Corporate Bond and Stock Markets

Emprica, Journal of Applied Economics and Economic Policy, 2016
Number of pages: 19 Posted: 23 May 2016
National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS), Independent, Rovira i Virgili University - Department of Business and Rovira i Virgili University - Department of Business
Downloads 26 (540,875)

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Hurst, DFA, corporate bond indices, stock indices, financial crisis

6.

A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries

Economics Letters, Vol. 116, No. 3, 2012
Number of pages: 4 Posted: 13 Oct 2015
Aurelio F. Bariviera, M. Belén Guercio and Lisana B. Martinez
Rovira i Virgili University - Department of Business, Independent and National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS)
Downloads 24 (553,231)
Citation 2

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Financial crisis, Long range dependence, Corporate bonds, Sovereign bonds

7.

Libor at Crossroads: Stochastic Switching Detection Using Information Theory Quantifiers

Chaos, Solitons & Fractals, 2016
Number of pages: 20 Posted: 29 Apr 2016
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 21 (572,258)

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Libor, permutation entropy, permutation statistical complexity, information theory

8.

Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds

The Economic and Social Review, Vol. 45, No. 3, Autumn, 2014, pp. 349-369
Number of pages: 22 Posted: 13 Oct 2015
Aurelio F. Bariviera, M. Belén Guercio and Lisana B. Martinez
Rovira i Virgili University - Department of Business, Independent and National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS)
Downloads 16 (605,116)
Citation 1

Abstract:

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financial crisis, Hurst exponent, corporate bonds, long range memory