英文标题：
《Financial Time Series: Stylized Facts for the Mexican Stock Exchange
Index Compared to Developed Markets》
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作者：
Omar Rojas and Carlos Trejo-Pech
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最新提交年份：
2014
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英文摘要：
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to the probability distribution func- tion and the autocorrelation function (e.g. fat tails, non-normality, volatility cluster- ing, among others). We find that positive skewness for returns in Mexico and Brazil, but not in the rest, suggest investment opportunities. Evidence of nonlinearity is also documented.
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中文摘要：
我们展示了墨西哥股票交易所指数（IPC）收益时间序列所展示的一些典型事实，并将其与发达国家（美国、英国和日本）和新兴市场（巴西和印度）的样本进行了比较。学习时间为1997-2011年。程式化事实主要与概率分布函数和自相关函数有关（如厚尾、非正态性、波动率聚类等）。我们发现，墨西哥和巴西（而不是其他国家）的回报率正偏态表明存在投资机会。非线性的证据也有记录。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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