Inefficiency in Latin-American market indices

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We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stoc...

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Detalles Bibliográficos
Autores principales: Zunino, Luciano José, Tabak, Benjamin Miranda, Pérez, Darío G., Garavaglia, Mario José, Rosso, Osvaldo A.
Formato: Articulo Preprint
Lenguaje:Inglés
Publicado: 2007
Materias:
Economía
Matemática
Emerging markets
Econometrics
Time series
Financial market
Inefficiency
Econophysics
Mathematics
Stock market index
Volatility (finance)
Hurst exponent
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/127235
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata

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