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

DOI10.1142/S0129183108012789zbMATH Open1156.91456MaRDI QIDQ3545706FDOQ3545706

Guillermo Ortega, David Matesanz

Publication date: 11 December 2008

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

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• Disturbances and complexity in volatility time series
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Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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

Cited In (1)

• Portfolio theory, information theory and Tsallis statistics

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