Efficiency and credit ratings: a permutation-information-theory analysis

@article{Bariviera2013EfficiencyAC,
  title={Efficiency and credit ratings: a permutation-information-theory analysis},
  author={Aurelio Fern{\'a}ndez Bariviera and Luciano Zunino and M Bel{\'e}n Guercio and Lisana Bel{\'e}n Martinez and Osvaldo Anibal Rosso},
  journal={Journal of Statistical Mechanics: Theory and Experiment},
  year={2013},
  volume={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 this purpose we use a powerful statistical tool, relatively new in the financial literature: the complexity–entropy causality plane. This representation space allows us to graphically classify the… 
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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 exponent
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