Dynamic parameters for Brazilian financial time series
In this study we analyse a Brazilian stock index called IBOVESPA using techniques from dynamical systems theory and stochastic processes. We discuss the Lyapunov exponent, the correlation dimension, the LempelZiv complexity, the Hurst exponent and the BDS statistics. We compare this study with othe...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2002-02-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/219890 |