Multifractal structure in Latin-American market indices

We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging market...

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Detalles Bibliográficos
Autores principales: Zunino, L., Figliola, A., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A.
Formato: JOUR
Materias:
Developed countries
Emerging markets
Fat tails
Long range correlations
Multi fractals
Multifractal detrended fluctuation analysis
Multifractal structure
Multifractality
Stock market
Commerce
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_09600779_v41_n5_p2331_Zunino
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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