Scale-free tails in colombian financial indexes: a primer

dc.creatorLeón, Carlos
dc.date.accessioned2015-07-01 00:00:00
dc.date.accessioned2022-09-08T13:39:12Z
dc.date.available2015-07-01 00:00:00
dc.date.available2022-09-08T13:39:12Z
dc.date.created2015-07-01 00:00:00
dc.date.created2022-09-08T13:39:12Z
dc.date.issued2015-07-01
dc.identifier10.18601/17941113.n9.06
dc.identifier2346-2140
dc.identifier1794-1113
dc.identifierhttps://bdigital.uexternado.edu.co/handle/001/7522
dc.identifierhttps://doi.org/10.18601/17941113.n9.06
dc.description.abstractA 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.
dc.languagespa
dc.publisherFacultad de Finanzas, Gobierno y Relaciones Internacionales
dc.relationhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/4415/5005
dc.relationhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/4415/5258
dc.relationNúm. 9 , Año 2015
dc.relation255
dc.relation9
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dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.sourcehttps://revistas.uexternado.edu.co/index.php/odeon/article/view/4415
dc.subjectScale-free
dc.subjectpower-law
dc.subjectZipf’s law
dc.subjectfinancial returns
dc.titleScale-free tails in colombian financial indexes: a primer
dc.typeArtículo de revista


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