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Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey

Author

Listed:
  • Andrés Mauricio Mendoza Piñeros

    ()

  • José Alfredo Jiménez Moscoso

    ()

Abstract

En el artículo se presentan algunas propiedades y limitaciones de la familia de distribuciones g y h de Tukey. Se desarrolla la función de densidad cuando los parámetros g y h no son constantes, lo cual es un gran avance considerando la recurrencia de este aspecto en las aplicaciones sobre el comportamiento de las distribuciones de los activos financieros. Estos desarrollos teóricos permiten hacer un análisis más detallado en el sector accionario cuando se desea conocer y describir el comportamiento de ladistribución de las tasas de retorno.

Suggested Citation

  • Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso, 2010. "Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  • Handle: RePEc:col:000093:007334
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/52/v29n52_mendozar_2010.pdf
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    More about this item

    Keywords

    distribuciones g y h de Tukey; cuantiles; sesgo y alargamiento de lascolas.;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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