Scale-free tails in colombian financial indexes: a primer

Red de Bibliotecas Virtuales de Ciencias Sociales en
América Latina y el Caribe

Por favor, use este identificador para citar o enlazar este ítem: https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100382

Título :	Scale-free tails in colombian financial indexes: a primer
Palabras clave :	Scale-free;power-law;Zipf’s law;financial returns
Editorial :	Facultad de Finanzas, Gobierno y Relaciones Internacionales
Descripción :	A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free distribution, whereas none of the heavy tails of a local sovereign securities index (IDXTES) are a plausible case for such distribution. Results also (i) support critiques regarding the flaws of ordinary least squares estimation methods for scale-free distributions; (ii) question the validity of Zipf’s law; (iii) suggest that IGBC and TRM display the scale-free nature documented as a stylized fact of financial returns, and that they may be following a gradually truncated Lévy flight; and (iv) suggest that local financial markets are self-organizing systems.
URI :	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100382
Otros identificadores :	https://revistas.uexternado.edu.co/index.php/odeon/article/view/4415 10.18601/17941113.n9.06
Aparece en las colecciones:	Centro de Investigaciones y Proyectos Especiales - CIPE/UEXTERNADO - Cosecha

Ficheros en este ítem:

No hay ficheros asociados a este ítem.