Since 2014
Usos y Limitaciones de los Procesos Estocásticos en el Tratamiento de Distribuciones de Rendimientos con Colas Gordas
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Usos y Limitaciones de los Procesos Estocásticos en el Tratamiento de Distribuciones de Rendimientos con Colas Gordas
— |
|
| Creator |
Ramirez Sánchez, José Carlos
|
|
| Description |
This paper deals with the main theoretical problems regarding the application of stochastic processes to leptokurtic financial return distribu-tions. A sort of statistical tests based on the stock index Banamex 30 is performed in order to choose the stochastic model that provide the best fit to the fat-tailed empirical distribution, allowing for a better return forecasting or value at risk estimate. In choosing that model the paper points out that any single set of stastistical criteria is not appropriate if it is not confronted with the risk manager’s experience. Understanding the investor’s aversion risk or the transaction costs involved in any trading strategy, among other elements, is very important to justify the use of any stochastic process in risk management techniques.
— |
|
| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
|
|
| Contributor |
—
— |
|
| Date |
2010-03-01
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/35
|
|
| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 19, No 1 (2004); 51-76
Revista de Análisis Económico – Economic Analysis Review; Vol 19, No 1 (2004); 51-76 0718-8870 0716-5927 |
|
| Language |
spa
|
|
| Relation |
http://www.rae-ear.org/index.php/rae/article/view/35/68
|
|