Record Details

Lévy processes and the Brazilian market

Brazilian Review of Econometrics

View Archive Info
 
 
Field Value
 
Title Lévy processes and the Brazilian market
Lévy processes and the Brazilian market
 
Creator Barbachan, José Fajardo; Universidade Católica de Brasília, SGAN 916, Asa Norte, DF-BRAZIL
Schuschny, Andrés Ricardo; Universidad Nacional de Quilmes, Roque Saenz Pena 180, Bernal, Pcia. de Buenos Aires, Argentina
Silva, André de Castro; Chicago University
 
Subject Hyperbolic Distribution; Stable Paretian Distribution; Fat Tails; Scale Invariance.
C52, G10
Hyperbolic Distribution; Stable Paretian Distribution; Fat Tails; Scale Invariance.
C52, G10
 
Description The present paper presents the Lévy processes used in the literature for the modeling of the returns of financial assets, which are generated by stable Paretian and hyperbolic distributions. Some properties of these distributions, especially the time-scale invariance, are analyzed. In the end, empirical evidence of the applicability of these processes is given for the modeling of Brazilian asset returns through Ibovespa, and the Telebrás and Petrobrás receipt. The data were collected between January 1st, 1995 and December 31st, 1998 (Gl) and January 1st, 1996 and December 31st, 1997 (G2).
No presente artigo apresentamos processos de Lévy usados na literatura para modelar os retornos dos ativos financeiros, estes processos são gerados pelas distribuições Pareto-Estáveis e Hiperbólicas. Estudamos algumas propriedades destas distribuições, em particular a propriedade da invariância da escala temporal. Por último apresentamos evidências empíricas da aplicabilidade destes processos para modelar retornos de ativos Brasileiros, para isto usamos o Ibovespa, o recibo da Telebrás e Petrobrás, na amostra usamos dados dos periodos de 1º de janeiro de 1995 a 31 de dezembro de 1998 (Gl) e de 1º de janeiro de 1996 a 31 de dezembro de 1997(G2).
 
Publisher Sociedade Brasileira de Econometria
 
Date 2001-11-02
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
—
 
Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2752
10.12660/bre.v21n22001.2752
 
Source Brazilian Review of Econometrics; Vol 21, No 2 (2001); 263-289
Brazilian Review of Econometrics; Vol 21, No 2 (2001); 263-289
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2752/1686