Scale-free tails in colombian financial indexes: a primer

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...

Full description

Autores:

León, Carlos

Tipo de recurso:

Article of journal

Fecha de publicación:

2015

Institución:

Universidad Externado de Colombia

Repositorio:

Biblioteca Digital Universidad Externado de Colombia

Idioma:

spa

OAI Identifier:

oai:bdigital.uexternado.edu.co:001/7522

Acceso en línea:

https://bdigital.uexternado.edu.co/handle/001/7522
https://doi.org/10.18601/17941113.n9.06

Palabra clave:

Scale-free
power-law
Zipf’s law
financial returns

Rights

openAccess

License

http://purl.org/coar/access_right/c_abf2