Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9727598 | Physica A: Statistical Mechanics and its Applications | 2005 | 14 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Sebastian Jaroszewicz, M. Cristina Mariani, Marta Ferraro,