Data manipulation detection via permutation information theory quantifiers
Aurelio Fernandez Bariviera (),
M. Bel\'en Guercio and
Lisana B. Martinez
Papers from arXiv.org
Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rates time series and we detect an anomalous behavior in LIBOR, specially during the period of the financial crisis of 2008. Our findings could be consistent with data manipulation.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1501.04123 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1501.04123
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().