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Aplicación de procesos con raíz unitaria estocástica a índices bursátiles

Author

Listed:
  • Román Mínguez Salido

    (Universidad San Pablo-CEU)

  • Eduardo Morales Martínez

    (Universidad San Pablo-CEU)

Abstract

En este trabajo se estudian los procesos de raíz unitaria estocástica (STUR) como una generalización de los procesos de raíz unitaria fija. Así, se repasan tanto sus principales características estadísticas, como los métodos de detección y contraste desarrollados para este tipo de procesos. Finalmente, se estudia la relevancia empírica de estos procesos en la modelización de los índices bursátiles de los principales mercados mundiales, realizando una comparación tanto de las varianzas condicionadas como de las predicciones de los rendimientos, obtenidas con procesos STUR, frente a otros procesos de la literatura financiera.

Suggested Citation

  • Román Mínguez Salido & Eduardo Morales Martínez, 2006. "Aplicación de procesos con raíz unitaria estocástica a índices bursátiles," Investigaciones Economicas, Fundación SEPI, vol. 30(1), pages 163-174, January.
    • Handle: RePEc:iec:inveco:v:30:y:2006:i:1:p:163-174
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    Cited by:

    1. Roth, Alvin, 2012. "The Shapley Value as a von Neumann-Morgenstern Utility," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 6, pages 1-9.

    More about this item

    Keywords

    STUR; predicción;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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