Long correlations and truncated Levy walks applied to the study Latin-American market indices

This work is devoted to the study of long correlations and other statistical properties of Latin-American market indices. We concluded that the behavior of the return is compatible with a slow convergence to a Gaussian distribution. We also detected long-range correlations in the absolute value of the return analyzing the effects of working with short data series. This fact has relevant consequences in the volatility dynamics.

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Year of publication:	2005
Authors:	Jaroszewicz, Sebastian ; Mariani, M. Cristina ; Ferraro, Marta
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 355.2005, 2, p. 461-474
Publisher:	Elsevier
Subject:	Levy flight \| Econophysics \| Detrended fluctuation analysis \| Stock market prices \| Latin-American indices

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588696