A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES ENTROPY AS A RANKING CRITERION

David Matesanz () and Guillermo J. Ortega ()
Additional contact information
David Matesanz: Department of Applied Economics, Universidad de Oviedo, Auda. Cristo s/n, 33006, Oviedo, Spain
Guillermo J. Ortega: Science and Technology Department, Universidad Nacional de Quilmes and CONICET, R. S. Peña 180, B1876BXD, Bernal, Argentina
Authors registered in the RePEc Author Service: David Matesanz Gómez ()

International Journal of Modern Physics C (IJMPC), 2008, vol. 19, issue 07, 1095-1103

Abstract: 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.

Keywords: Econophysics; MST; real exchange rate; 02.50.Sk; 89.90.+n (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183108012789
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijmpcx:v:19:y:2008:i:07:n:s0129183108012789

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183108012789

Access Statistics for this article

International Journal of Modern Physics C (IJMPC) is currently edited by H. J. Herrmann

More articles in International Journal of Modern Physics C (IJMPC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().