IDEAS home Printed from https://ideas.repec.org/a/col/000129/004141.html
   My bibliography  Save this article

Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia

Author

Listed:
  • JULIO CÉSAR ALONSO
  • MAURICIO ALEJANDRO ARCOS

Abstract

En este documento empleamos las seriesde la Tasa de Cambio Representativade Mercado y el Índice Generalde la Bolsa Colombia para ilustrarcuatro hechos estilizados muy conocidosen la literatura financiera: i) las series de precios siguen un caminoaleatorio, ii) la distribución de losrendimientos es leptocúrtica y exhibecolas pesadas, iii) a medida que se calculanlos rendimientos para períodosmás amplios su distribución se acercamás a la distribución normal, y iv) losrendimientos presentan volatilidadagrupada (volatility clustering).

Suggested Citation

  • Julio César Alonso & Mauricio Alejandro Arcos, 2006. "Cuatro hechos estilizados de las series de rendimientos: Una ilustración para Colombia," Estudios Gerenciales, Universidad Icesi, August.
    • Handle: RePEc:col:000129:004141
    as

    Download full text from publisher

    File URL: http://dspace.icesi.edu.co/dspace/bitstream/item/992/1/ilustracion_colombia.PDF
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Julio César Alonso & Paul Seeman, 2010. "Cálculo del VaR con volatilidad no constante en R," Apuntes de Economía 9097, Universidad Icesi.
    2. Mateusz Buczyński & Marcin Chlebus, 2017. "Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(," Working Papers 2017-29, Faculty of Economic Sciences, University of Warsaw.
    3. Julio César Alonso & Paul Seeman, 2009. "Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante," Apuntes de Economía 9096, Universidad Icesi.
    4. Orlando E. Contreras & Roberto Stein Bronfman & Carlos Enrique Vecino, 2014. "Diseno y evaluación retrospectiva de una estrategia de inversión en el mercado bursátil colombiano mediante la maximización del ratio de Sharpe," Revista Lebret, Universidad Santo Tomás - Bucaramanga, vol. 6, pages 303-320, December.
    5. Buczyński Mateusz & Chlebus Marcin, 2018. "Comparison of Semi-Parametric and Benchmark Value-At-Risk Models in Several Time Periods with Different Volatility Levels," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(2), pages 67-82, June.

    More about this item

    Keywords

    Rendimientos Þ nancieros; Regularidadesempíricas; Tasa de cambio; índice general de la Bolsa Colombia; volatility clustering; fat tails.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G00 - Financial Economics - - General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000129:004141. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Coordinador ICESI (email available below). General contact details of provider: https://edirc.repec.org/data/fciceco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.