Overnight Interest Rates and Aggregate Market Expectations
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- 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
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Cited by:
- 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,"
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- 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.
- Nikola Gradojevic & Marko Caric, 2015. "Predicting Systemic Risk with Entropic Indicators," Working Paper series 15-14, Rimini Centre for Economic Analysis.
- Muhammad Sheraz & Imran Nasir, 2021. "Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach," Risks, MDPI, vol. 9(5), pages 1-20, May.
- Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
- Bekiros, Stelios & Jlassi, Mouna & Lucey, Brian & Naoui, Kamel & Uddin, Gazi Salah, 2017. "Herding behavior, market sentiment and volatility: Will the bubble resume?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 107-131.
- 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.
- Ahmad Hajihasani & Ali Namaki & Nazanin Asadi & Reza Tehrani, 2020. "Non-Extensive Value-at-Risk Estimation During Times of Crisis," Papers 2005.09036, arXiv.org, revised Jan 2021.
- Raja Mazhar Hameed & Abdul Rafae Mazhar Raja & Nida Zahid, 2023. "Herding Spillover among the Stock Markets: Pakistan & China Covering Covid-19 and Its Repercussions," Journal of Policy Research (JPR), Research Foundation for Humanity (RFH), vol. 9(2), pages 257-267.
- Loretta Mastroeni & Pierluigi Vellucci, 2016. ""Chaos" in energy and commodity markets: a controversial matter," Papers 1611.07432, arXiv.org, revised Mar 2017.
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More about this item
Keywords
Non-additive Entropy; Tsallis Entropy; q-Gaussian Distribution;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
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