Una propuesta para evaluar pronósticos de rendimientos de acciones cuando las distribuciones empíricas no son normales estacionarias
This paper deals with the main problems related to predictability of asset returns when data series are not normally stationary distributed. The statistical analysis includes several normality tests on returns series of Banamex-30 stocks first, and then an application of mixture of probability distributions and stochastic processes to series, which are not normal stationary. As a means to avoid the normality assumption when forecasting asset returns, we introduce a second-order Markov model.
Volume (Year): 18 (2003)
Issue (Month): 2 ()
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- Andrew W. Lo, A. Craig MacKinlay, 1988.
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Society for Financial Studies, vol. 1(1), pages 41-66.
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- Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-73, March.
- Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
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