SciELO - Scientific Electronic Library Online

 
 número229Consistencia entre minimización de varianza y maximización de utilidad en la evaluación de derivadosSpreads de la deuda privada y riesgo sistemático en México índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Servicios Personalizados

Revista

Articulo

Indicadores

Links relacionados

  • No hay artículos similaresSimilares en SciELO

Compartir


Contaduría y administración

versión impresa ISSN 0186-1042

Resumen

FUENZALIDA, Darcy; MONGRUT, Samuel; NASH, Mauricio  y  ROSALES, Francisco. Anticipating turbulent periods in Latin American emerging markets. Contad. Adm [online]. 2009, n.229, pp.31-57. ISSN 0186-1042.

Some Latin American markets have been seriously affected by the episodes of financial crises during the last 15 years. One way of dealing with crises is to find mechanisms and policies that may be implemented in order to prevent or face this type of episodes. However, we can also try to characterize and anticipate periods of turbulence in emerging capital markets through historical technical analysis. The latter approach is used in this work by studying the multifractal properties of three Latin American emerging markets facing the Mexican crisis of 1994: Argentina, Brazil and Peru. The analysis of returns is made through its singularity spectrum during the 1989-2000 period by using a crisis-switching indicator with an empirical threshold. We show that sudden changes in one version of the sequence of Hölder exponents preceded turbulent periods with about sixty days of anticipation.

Palabras llave : financial crisis; multifractal analysis.

        · resumen en Español     · texto en Inglés     · Inglés ( pdf )

 

Creative Commons License Todo el contenido de esta revista, excepto dónde está identificado, está bajo una Licencia Creative Commons