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 ()
|Contact details of provider:|| Web page: http://www.colmex.mx/centros/cee/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
Review of Financial Studies,
Society for Financial Studies, vol. 1(1), pages 41-66.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- 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 563-598, October.
- Affleck-Graves, John & McDonald, Bill, 1989. " Nonnormalities and Tests of Asset Pricing Theories," Journal of Finance, American Finance Association, vol. 44(4), pages 889-908, September.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
- 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 155-173, March. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:emx:esteco:v:18:y:2003:i:2:p:237-277. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rocío Contreras)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.