@article{0e9bd86e7558409f9351d8c6ed044690,
title = "Multifractal structure in Latin-American market indices",
abstract = "We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.",
author = "Luciano Zunino and Alejandra Figliola and Tabak, {Benjamin M.} and P{\'e}rez, {Dar{\'i}o G.} and Mario Garavaglia and Rosso, {Osvaldo A.}",
note = "Funding Information: Luciano Zunino was supported by Consejo Nacional de Investigaciones Cientı´ficas y T{\'e}cnicas (CONICET), Argentina. Alejandra Figliola gratefully acknowledges support from Universidad Nacional de General Sarmiento (UNGS) and Consejo Nacional de Investigaciones Cientı´ficas y T{\'e}cnicas (CONICET), Argentina. Benjamin M. Tabak gratefully acknowledges financial support from CNPq foundation. The opinions expressed in the paper do not necessarily reflect those of the Banco Central do Brasil. Dar{\'i}o G. P{\'e}rez was supported by Comisi{\'o}n Nacional de Investigaci{\'o}n Cient{\'i}fica y Tecnol{\'o}gica (CONICYT, FONDECYT project No. 11060512), Chile, and partially by Pontificia Universidad Cat{\'o}lica de Valpara{\'i}so (PUCV, Project No. 123.788/2007), Chile. Osvaldo A. Rosso gratefully acknowledges support from Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia.",
year = "2009",
month = sep,
day = "15",
doi = "10.1016/j.chaos.2008.09.013",
language = "English",
volume = "41",
pages = "2331--2340",
journal = "Chaos, Solitons and Fractals",
issn = "0960-0779",
publisher = "Elsevier Ltd.",
number = "5",
}