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Procesos Poisson-Gaussianos para el Análisis de Rendimientos en el Mercado Accionarial en México

Author

Listed:
  • NÚÑEZ MORA, J. Antonio

    () (Departamento de Contabilidad y Finanzas, TECNOLÓGICO DE MONTERREY, Campus Ciudad de México)

  • SEGUNDO VALDÉS, Alejandro

    (Departamento de Economía, UNIVERSIDAD AUTÓNOMA METROPOLITANA, Unidad Azcapotzalco)

  • DE LA CRUZ GALLEGOS, J. Luis

    (Departamento de Finanzas y Economía, TECNOLÓGICO DE MONTERREY, Campus Estado de México)

Abstract

In the financial and economic research, it is known that several financial variables, like returns, can move in a discontinuous manner. This paper proposes and estimates Poisson Gaussian jump and ARCH processes in returns for a set of equities in the Mexican Stock Market. To get the log likelihood, we applied an approximation developed by Das (1998 and 2002). We found that the jump processes capture characteristics of the Mexican data of several equities which would not be captured by diffusion models. En la investigación de finanzas y economía es ampliamente reconocido que variables como los rendimientos pueden presentar comportamientos discontinuos. En este sentido, el presente artículo realiza la estimación de los rendimientos para un grupo de acciones pertenecientes a la Bolsa Mexicana de Valores, utilizando para ello procesos de saltos Poisson-Gaussianos y de tipo ARCH, y empleando la aproximación de Das (1998 y 2002) para generar una función de verosimilitud que asegure una estimación robusta. Con base a la metodología planteada, se encuentra que los procesos con saltos capturan características de los datos mexicanos que no siempre son obtenidos mediante la aplicación de los modelos de difusión

Suggested Citation

  • NÚÑEZ MORA, J. Antonio & SEGUNDO VALDÉS, Alejandro & DE LA CRUZ GALLEGOS, J. Luis, 2008. "Procesos Poisson-Gaussianos para el Análisis de Rendimientos en el Mercado Accionarial en México," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 26, pages 1-15, Agosto.
  • Handle: RePEc:lrk:eeaart:26_2_13
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    Keywords

    Jumps; Diffusions; ARCH; Gaussian; yields/Saltos; Difusión; ARCH; Gaussianos; rendimientos;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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