A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES

DOI10.1142/S0129183108012789MaRDI QIDQ3545706zbMATH OpenFDO

Authors David Matesanz, Guillermo Ortega

Publication date 11 December 2008

Published in International Journal of Modern Physics C (Search for Journal in Brave)

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Recommendations

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Cites work

• A Dependence Metric for Possibly Nonlinear Processes
• A Mathematical Theory of Communication
• A compendium to information theory in economics and econometrics
• CROSS-COUNTRY HIERARCHICAL STRUCTURE AND CURRENCY CRISES
• DYNAMICS AND STRUCTURE OF THE MAIN ITALIAN COMPANIES
• Entropy and predictability of stock market returns.
• Estimating the errors on measured entropy and mutual information
• Introduction to Econophysics
• Levels of complexity in financial markets
• Markov-switching model selection using Kullback-Leibler divergence
• Measures of globalization based on cross-correlations of world financial indices
• Ordering univariate distributions by entropy and variance

Cited in

(1)

• Portfolio theory, information theory and Tsallis statistics

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