TITLE

Procesos Poisson-Gaussianos para el análisis de rendimientos en el mercado accionarial en México

AUTHOR(S)
Mora, J. Antonio Núñez; Valdés, Alejandro Segundo; De La Cruz Gallegos, J. Luis
PUB. DATE
August 2008
SOURCE
Estudios de Economía Aplicada;Aug2008, Vol. 26 Issue 2, p1
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
35128461

 

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