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

Di Matteo, Tiziana; Aste, Tomaso; Dacorogna, Michel

Description

The 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...[Show more]

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/78256
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2004.08.004

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