Scale-free tails in colombian financial indexes : a primer

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Borradores de Economía; No. 812
Date published
2014-03-07
Date of last update
2014-03-07
Author
León-Rincón, Carlos Eduardo
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
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 th
JEL Codes
C46 - Specific Distributions; Specific StatisticsG32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; GoodwillC58 - Financial Econometrics
Keywords
Scale-free ; Power-law ; Zipf’s law ; Financial returns ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6098
https://hdl.handle.net/20.500.12134/6098
https://doi.org/10.32468/be.812
https://ideas.repec.org/p/bdr/borrec/812.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit