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Distribución de los rendimientos del mercado mexicano accionario

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Author Info

  • Bárbara Trejo

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • José Antonio Núñez

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • Arturo Lorenzo

    (Tecnológico de Monterrey, Campus Ciudad de México)

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    Abstract

    We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG) distributions. This is made for the Mexican stock market returns. The parameters of the NIG and t-Student distributions are estimated by maximum likelihood. The rejection of normality is contundent using the omnibus test. The results are very clear: the adjustment of the NIG distribution is better than the adjustment for the Normal distribution. At the same time we used de Kolmogorov-Smirnov test to compare t-Student and NIG distributions.

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    File URL: http://codex.colmex.mx:8991/exlibris/aleph/a18_1/apache_media/B538RY3XLDS3Y9SBKEVB46RDFG4PG8.pdf
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    Bibliographic Info

    Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

    Volume (Year): 21 (2006)
    Issue (Month): 1 ()
    Pages: 85-118

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    Handle: RePEc:emx:esteco:v:21:y:2006:i:1:p:85-118

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    Web page: http://www.colmex.mx/centros/cee/
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    Cited by:
    1. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
      [Modeling Mexican stock
      ," MPRA Paper 36872, University Library of Munich, Germany.

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