Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru
Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied to these ?nancial returns. Dynamic correlations and di¤erent kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal di¤erent sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normal- ity. Identi?able volatility cycles in both forex and stock markets are associated to common macro ?nancial uncertainty events.
|Date of creation:||2011|
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- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- repec:cup:cbooks:9780521710091 is not listed on IDEAS
- Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Fondo Editorial de la Pontificia Universidad Católica del Perú, issue 62, pages 109-126.
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