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Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen

Author

Listed:
  • José Antonio Climent Hernández

    (Universidad Autónoma Metropolitana, México)

  • Luis Fernando Hoyos Reyes

    (Universidad Autónoma Metropolitana, México)

  • Domingo Rodríguez Benavides

    (Universidad Autónoma Metropolitana, México)

Abstract

En este trabajo de investigación se analizan los rendimientos de las paridades de los tipos de cambio del dólar americano, dólar canadiense, euro y yen; se estiman los estadísticos básicos, los parámetros alfa estables, se realizan las pruebas de bondad de ajuste Kolmogorov-Smirnov, Anderson-Darling y Lilliefors; se estiman de los exponentes de autosimilitud y se realizan las pruebas t y F, descartando que las series de las paridadesson multifraccionarias; se estiman los intervalos de confianza de las paridades de los tipos de cambio y se concluye que las distribuciones alfa estables estimadas son más eficientes que la distribución gaussiana para cuantificar los riesgos del mercado y que las series son autosimilares; a través del índice se infiere el riesgo de los eventos y se indica que las paridades son antipersistentes por lo que presentan memoria de corto plazo, reversión a la media, correlación negativa con riesgo elevado en el corto y mediano plazo;la estimación y validación de las distribuciones alfa estables y el exponente de autosimilitud son importantes en la valuación y creación de instrumentos de inversión innovadores a través de la ingeniería financiera, administración de riesgos y valuación de productos derivados.

Suggested Citation

  • José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 9-10, Diciembre.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:5:p:9-10
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    References listed on IDEAS

    as
    1. Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał, 2005. "Stable distributions," SFB 649 Discussion Papers 2005-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    More about this item

    Keywords

    Procesos alfa estables; Exponente de autosimilitud; Ingeniería financieraC16; C46; C14; D81; G12; G13;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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