Memoria de largo plazo y efecto reset en retornos accionarios latinoamericanos
This article confirms the long term dependence of returns for stock market indexes in Chile, Argentina, Brazil and Mexico. By means of the rescaled range statistic (R/S) proposed by Hurst (1951) and studied later by Mandelbrot and Wallis (1969) and Mandelbrot (1972, 1975), and the modified rescaled...
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| Format: | Article |
| Language: | English |
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Universidad de Chile
2007-02-01
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| Series: | Estudios de Administración |
| Online Access: | https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56418 |