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

@article{Bariviera2013EfficiencyAC,
  title={Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis},
  author={A. F. Bariviera and L. Zunino and M. Guercio and Lisana B. Martinez and O. Rosso},
  journal={ERN: Other Econometrics: Econometric \& Statistical Methods - Special Topics (Topic)},
  year={2013}
}
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil and energy companies from April 2008 to November 2012. For that purpose, we use a powerful statistical tool relatively new in the financial literature: the complexity-entropy causality plane. This representation space allows to graphically classify the… Expand
Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy
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This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponentExpand
03 Bariviera article_ESRI Vol 45-1
This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponentExpand
Financial risk distribution in European Union
Abstract A methodology based on Markov chains and dynamic entropy measures is proposed for measuring and forecasting the evolution of the inequality of financial risks in the European Union (EU). TheExpand
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