Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development

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dc.creatorDi Matteo, T.
dc.creatorAste, T.
dc.creatorDacorogna, M. M.
dc.date2004-03-29
dc.date.accessioned2026-07-07T12:06:56Z
dc.date.available2026-07-07T12:06:56Z
dc.descriptionThe scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.
dc.description46 pages, 7 figures, accepted for publication in Journal of Banking & Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/0403681
dc.identifierhttp://arxiv.org/abs/cond-mat/0403681
dc.identifierJournal of Banking & Finance 29/4 (2005) 827-851
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208800
dc.subjectStatistical Mechanics
dc.subjectOther Condensed Matter
dc.subjectStatistical Finance
dc.titleLong term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
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