A (econophysics) note on volatility in exchange rate time series. Entropy as a ranking criterion

被引：9

作者：

Matesanz, David ^{[1
]}

Ortega, Guillermo J. ^{[2
,3
]}

机构：

[1] Univ Oviedo, Dept Appl Econ, E-33006 Oviedo, Spain

[2] Univ Nacl Quilmes, Sci & Technol Dept, Bernal, Argentina

[3] Consejo Nacl Invest Cient & Tecn, Bernal, Argentina

来源：

INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2008年 / 19卷 / 07期

关键词：

econophysics; MST; real exchange rate;

D O I：

10.1142/S0129183108012789

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

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 effects of crises.

引用

页码：1095 / 1103

页数：9

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