info:eu-repo/semantics/article
Long correlations and truncated Levy walks applied to the study Latin-American market indices
Fecha
2005-12Registro en:
Jaroszewicz, Sebastian; Mariani, Maria Cristina; Ferraro, Marta Beatriz; Long correlations and truncated Levy walks applied to the study Latin-American market indices; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 355; 2-4; 12-2005; 461-474
0378-4371
CONICET Digital
CONICET
Autor
Jaroszewicz, Sebastian
Mariani, Maria Cristina
Ferraro, Marta Beatriz
Resumen
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. © 2005 Elsevier B.V. All rights reserved.