IDEAS home Printed from https://ideas.repec.org/a/ega/rafega/200810.html
   My bibliography  Save this article

Aplicación de procesos Poisson-Gaussianos a los activos nacionales: desechando la distribución normal

Author

Listed:
  • Guillermo Einar Moreno Quezada

    (Tecnológico de Monterrey)

Abstract

Risks management nowadays is divided into three great topics: calculation of derivate products, interest rate modeling and the financial and economic risks area. From the works made by Bachelier (1900), financial modeling has involved Brownian motion. This leads us to keep suppositions that include from log normal behaviors of the asset's prices to variances that are not proportional to time. This paper suggests the utilization of another distribution rather than normal for financial theory using the profits of a group of eleven national assets. It involves utilization of a Poisson-Gaussian distribution and uses an approximation suggested by Sanjiv Das (1998) to obtain the function of Log-likelihood for the group of eleven assets belonging to the Mexican Stock Exchange and their series from January 1st, 1994 to December 31st, 2004

Suggested Citation

  • Guillermo Einar Moreno Quezada, 2008. "Aplicación de procesos Poisson-Gaussianos a los activos nacionales: desechando la distribución normal," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 2(2), pages 136-149.
    • Handle: RePEc:ega:rafega:200810
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2008V2A10Moreno.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Tasas de interés;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200810. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: José Antonio Núñez (email available below). General contact details of provider: https://edirc.repec.org/data/emitemx.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.