Inefficiency in Latin-American market indices
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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| Autores principales: | Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A. |
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| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_14346028_v60_n1_p111_Zunino |
| Aporte de: |
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