Advanced Search
MyIDEAS: Login to save this article or follow this journal

Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia

Contents:

Author Info

  • JULIO CÉSAR ALONSO

    ()

  • MAURICIO ALEJANDRO ARCOS

    ()

Abstract

En este documento empleamos las seriesde la Tasa de Cambio Representativade Mercado y el Índice Generalde la Bolsa Colombia para ilustrarcuatro hechos estilizados muy conocidosen la literatura financiera: i) las series de precios siguen un caminoaleatorio, ii) la distribución de losrendimientos es leptocúrtica y exhibecolas pesadas, iii) a medida que se calculanlos rendimientos para períodosmás amplios su distribución se acercamás a la distribución normal, y iv) losrendimientos presentan volatilidadagrupada (volatility clustering).

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dspace.icesi.edu.co/dspace/bitstream/item/992/1/ilustracion_colombia.PDF
Download Restriction: no

Bibliographic Info

Article provided by UNIVERSIDAD ICESI in its journal ESTUDIOS GERENCIALES.

Volume (Year): (2006)
Issue (Month): ()
Pages:

as in new window
Handle: RePEc:col:000129:004141

Contact details of provider:

Related research

Keywords: Rendimientos Þ nancieros; Regularidadesempíricas; Tasa de cambio; índice general de la Bolsa Colombia; volatility clustering; fat tails.;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," APUNTES DE ECONOMÍA 009096, UNIVERSIDAD ICESI.
  2. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," APUNTES DE ECONOMÍA 009097, UNIVERSIDAD ICESI.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:col:000129:004141. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ximena Duenas).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.