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Uso de la Metodolog�a Wavelets para la Validaci�n de la Regla de la Ra�z del Tiempo y su Aplicaci�n al Riesgo de Mercado

Author

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  • Javier Eliecer Pirateque Ni�o

Abstract

Bajo el supuesto de que una serie de retornos es independiente e id�nticamente distribuida (IID), la dimensi�n temporal del riesgo es irrelevante. De esta forma, la volatilidad calculada sobre un intervalo de tiempo (e.g. mensual) puede ser estimada a partir de la calculada sobre otro intervalo (e.g. diario), mediante la regla de la ra�z del tiempo. El presente documento presenta una metodolog�a avanzada, que al igual que las m�s tradicionales, evidencia que la utilizaci�n de dicha ra�z es err�nea debido a que existe dependencia de largo plazo en algunas de las series financieras colombianas. Asimismo, se exponen algunas de las consecuencias m�s importantes de dicha dependencia (en especial sobre el c�lculo del riesgo de mercado) y se proponen algunos par�metros de escalamiento.

Suggested Citation

  • Javier Eliecer Pirateque Ni�o, 2014. "Uso de la Metodolog�a Wavelets para la Validaci�n de la Regla de la Ra�z del Tiempo y su Aplicaci�n al Riesgo de Mercado," Borradores de Economia 11137, Banco de la Republica.
    • Handle: RePEc:col:000094:011137
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    More about this item

    Keywords

    Wavelets; dependencia de largo plazo; an�lisis multi-resoluci�n y riesgo de mercado.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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