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Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones

  • Jorge Mario Uribe Gil


  • Inés María Ulloa Villegas


En este documento se revisa la relación teórica entre eficiencia informacional y eficiencia en la asignación. Igualmente, se proponen dos mejoras a la metodología empírica tradicional para medir la eficiencia en el sentido débil. La primera consiste en calcular el estadístico de eficiencia dinámicamente, lo cual enriquece el análisis y permite definir intervalos con distintos grados de eficiencia en el mismo mercado. La segunda consiste en evaluar la eficiencia a través de cópulas, las cuales son robustas ante la no normalidad y la no linealidad que exhiben las series de tiempo financieras.

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Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

Volume (Year): (2011)
Issue (Month): (December)
Pages: -

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Handle: RePEc:col:000093:009217
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