A comparative analysis of the informational efficiency of the fixed income market in seven European countries

dc.creatorFernández Bariviera, Aurelio
dc.creatorGuercio, María Belén
dc.creatorMartinez, Lisana Belén
dc.date.accessioned2018-12-12T13:53:47Z
dc.date.accessioned2022-10-15T07:01:01Z
dc.date.available2018-12-12T13:53:47Z
dc.date.available2022-10-15T07:01:01Z
dc.date.created2018-12-12T13:53:47Z
dc.date.issued2012-09
dc.identifierFernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; A comparative analysis of the informational efficiency of the fixed income market in seven European countries; North-holland; Economics Letters; 116; 3; 9-2012; 426-428
dc.identifier0165-1765
dc.identifierhttp://hdl.handle.net/11336/66311
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/4358080
dc.description.abstractThis letter investigates the time-varying behavior of long memory in sovereign and corporate bond indices of seven European Union countries from July 1998 to November 2011. We compute the Hurst exponent and detect that the current financial crisis affects more the informational efficiency of the corporate bond market than the sovereign bond market. © 2012 Elsevier B.V.
dc.languageeng
dc.publisherNorth-holland
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0165176512001887
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/https://dx.doi.org/10.1016/j.econlet.2012.04.047
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectCORPORATE BONDS
dc.subjectFINANCIAL CRISIS
dc.subjectLONG RANGE DEPENDENCE
dc.subjectSOVEREIGN BONDS
dc.titleA comparative analysis of the informational efficiency of the fixed income market in seven European countries
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:ar-repo/semantics/artículo
dc.typeinfo:eu-repo/semantics/publishedVersion


Este ítem pertenece a la siguiente institución