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Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas

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Author Info
José Carlos Ramirez Sánchez () (ITESM y CIDE)
Abstract

This paper deals with the main theoretical problems regarding the application of stochastic processes to leptokurtic financial return distribu- tions. A sort of statistical tests based on the stock index Banamex 30 is performed in order to choose the stochastic model that provide the best fit to the fat- tailed empirical distribution, allowing for a better return forecasting or value at risk estimate. In choosing that model the paper points out that any single set of stastistical criteria is not appropriate if it is not confronted with the risk manager's experience. Understanding the investor's aversion risk or the transaction costs involved in any trading strategy, among other elements, is very important to justify the use of any stochastic process in risk management techniques.

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Publisher Info
Article provided by Ilades-Georgetown University, Economics Department in its journal Revista de Analisis Economico.

Volume (Year): 19 (2004)
Issue (Month): 1 (June)
Pages: 51-76
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Handle: RePEc:ila:anaeco:v:19:y:2004:i:1:p:51-76

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Related research
Keywords: stochastic process; leptokurtic financial return distribu-tions; return forecasting; value at risk estimate;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    Other versions:
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