| Revue: | ODEON (Bogotá) |
| Base de datos: | CLASE |
| Número de sistema: | 000535882 |
| ISSN: | 1794-1113 |
| Autores: | León, Carlos1 |
| Instituciones: | 1Banco de la República, Bogotá. Argentina |
| Año: | 2015 |
| Número: | 9 |
| Paginación: | 233-255 |
| País: | Colombia |
| Idioma: | Español |
| Tipo de documento: | Artículo |
| Enfoque: | Analítico, descriptivo |
| Resumen en español | 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 index (IDXTES) area 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 |
| Resumen en inglés | 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 index (IDXTES) area 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 |
| Disciplinas: | Economía |
| Palabras clave: | Econometría, Scale-free, Ley de potencia, Ley de Zipf, Retornos financieros, Indices financieros |
| Texte intégral: | https://revistas.uexternado.edu.co/index.php/odeon/article/view/4415/5258 |
