Overnight Interest Rates and Aggregate Market Expectations
Download full text from publisher
Other versions of this item:
- Gradojevic, Nikola & Gencay, Ramazan, 2008. "Overnight interest rates and aggregate market expectations," Economics Letters, Elsevier, vol. 100(1), pages 27-30, July.
References listed on IDEAS
- Lisa Borland, 2002. "A theory of non-Gaussian option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 415-431.
- Gamero, L.G. & Plastino, A. & Torres, M.E., 1997. "Wavelet analysis and nonlinear dynamics in a nonextensive setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 487-509.
- Gencay, Ramazan & Selcuk, Faruk, 2006.
"Overnight borrowing, interest rates and extreme value theory,"
European Economic Review,
Elsevier, vol. 50(3), pages 547-563, April.
- Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Working Papers 0103, Department of Economics, Bilkent University.
- Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
- Martin, M.T. & Plastino, A.R. & Plastino, A., 2000. "Tsallis-like information measures and the analysis of complex signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 275(1), pages 262-271.
- Tong, S. & Bezerianos, A. & Paul, J. & Zhu, Y. & Thakor, N., 2002. "Nonextensive entropy measure of EEG following brain injury from cardiac arrest," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 305(3), pages 619-628.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. "“Butterfly Effect" vs Chaos in Energy Futures Markets," Departmental Working Papers of Economics - University 'Roma Tre' 0209, Department of Economics - University Roma Tre.
- Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014.
"Network centrality measures and systemic risk: An application to the Turkish financial crisis,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 405(C), pages 203-215.
- Tolga Umut Kuzubas & Inci Omercikoglu & Burak Saltoglu, 2013. "Network Centrality Measures and Systemic Risk: An Application to the Turkish Financial Crisis," Working Papers 2013/12, Bogazici University, Department of Economics.
- Namaki, A. & Koohi Lai, Z. & Jafari, G.R. & Raei, R. & Tehrani, R., 2013. "Comparing emerging and mature markets during times of crises: A non-extensive statistical approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3039-3044.
- Nikola Gradojevic & Marko Caric, 2017. "Predicting Systemic Risk with Entropic Indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(1), pages 16-25, January.
- repec:eee:ecofin:v:42:y:2017:i:c:p:107-131 is not listed on IDEAS
- Gençay, Ramazan & Gradojevic, Nikola, 2010.
"Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence,"
Journal of Empirical Finance,
Elsevier, vol. 17(2), pages 270-282, March.
- Ramazan Gencay & Nikola Gradojevic, 2009. "Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence," Working Paper series 28_09, Rimini Centre for Economic Analysis.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Butterfly Effect" vs Chaos in Energy Futures Markets," Papers 1610.05697, arXiv.org.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Chaos" in energy and commodity markets: a controversial matter," Papers 1611.07432, arXiv.org, revised Mar 2017.
More about this item
KeywordsNon-additive Entropy; Tsallis Entropy; q-Gaussian Distribution;
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:26_09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Savioli). General contact details of provider: http://edirc.repec.org/data/rcfeait.html .