Lévy processes and the Brazilian market

José Fajardo (), Andrés Ricardo Schuschny and Andre Silva ()

Brazilian Review of Econometrics, 2001, vol. 21, issue 2

Abstract: The present paper presents the Lévy processes used in the literature for the modeling of the returns of financial assets, which are generated by stable Paretian and hyperbolic distributions. Some properties of these distributions, especially the time-scale invariance, are analyzed. In the end, empirical evidence of the applicability of these processes is given for the modeling of Brazilian asset returns through Ibovespa, and the Telebrás and Petrobrás receipt. The data were collected between January 1st, 1995 and December 31st, 1998 (Gl) and January 1st, 1996 and December 31st, 1997 (G2).

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:21:y:2001:i:2:a:2752

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