Scale-free tails in colombian financial indexes: a primer

León, Carlos

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dc.creator	León, Carlos
dc.date	2015-02-12
dc.date.accessioned	2022-03-22T19:37:18Z
dc.date.available	2022-03-22T19:37:18Z
dc.identifier	https://revistas.uexternado.edu.co/index.php/odeon/article/view/4415
dc.identifier	10.18601/17941113.n9.06
dc.identifier.uri	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/100382
dc.description	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.	es-ES
dc.format	application/pdf
dc.format	text/html
dc.language	spa
dc.publisher	Facultad de Finanzas, Gobierno y Relaciones Internacionales	es-ES
dc.relation	https://revistas.uexternado.edu.co/index.php/odeon/article/view/4415/5005
dc.relation	https://revistas.uexternado.edu.co/index.php/odeon/article/view/4415/5258
dc.source	ODEON; Núm. 9 (2015); 233-255	es-ES
dc.source	2346-2140
dc.source	1794-1113
dc.subject	Scale-free	es-ES
dc.subject	power-law	es-ES
dc.subject	Zipf’s law	es-ES
dc.subject	financial returns	es-ES
dc.title	Scale-free tails in colombian financial indexes: a primer	es-ES
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/publishedVersion