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Distribuciones Pareto-Levy para retornos de acciones en Chile

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  • Jorge Gregoire

Abstract

Este trabajo estudia la distribución empírica de los retornos accionarios en el mercado chileno. Los resultados indican que los retornos (mensuales) se comportan como si fuesen generados por una distribución estable Pareto-Levy, con exponente característico a probablemente 1,4 – 1,5. Esta conclusión parece interesante para aplicaciones de modelos financieros modernos.

Suggested Citation

  • Jorge Gregoire, 1984. "Distribuciones Pareto-Levy para retornos de acciones en Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 11(1 Year 19), pages 1-20, June.
    • Handle: RePEc:udc:esteco:v:11:y:1984:i:1:p:1-20
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