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Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia

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En este documento empleamos las seriesde la Tasa de Cambio Representativade Mercado y el Índice Generalde la Bolsa Colombia para ilustrarcuatro hechos estilizados muy conocidosen la literatura financiera: i) las series de precios siguen un caminoaleatorio, ii) la distribución de losrendimientos es leptocúrtica y exhibecolas pesadas, iii) a medida que se calculanlos rendimientos para períodosmás amplios su distribución se acercamás a la distribución normal, y iv) losrendimientos presentan volatilidadagrupada (volatility clustering).

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Article provided by UNIVERSIDAD ICESI in its journal ESTUDIOS GERENCIALES.

Volume (Year): (2006)
Issue (Month): (August)

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Handle: RePEc:col:000129:004141
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