INVESTIGADORES
ORTEGA Guillermo Jose
artículos
Título:
A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES. ENTROPY AS A RANKING CRITERION
Autor/es:
DAVID MATESANZ GÓMEZ AND GUILLERMO J. ORTEGA
Revista:
INTERNATIONAL JOURNAL OF MODERN PHYSICS C
Editorial:
WORLD SCIENTIFIC PUBL CO PTE LTD
Referencias:
Año: 2008 vol. 19 p. 1095 - 1103
ISSN:
0129-1831
Resumen:
We propose a volatility and uncertainty country ranking based on the entropic analysis of the real exchange rate dynamics. We show that this ranking is highly correlated with the volatility in the gross domestic product after events of currency crises. By comparing entropy with variance ranking we demonstrate that entropy measures better volatility e ffects of crises.
