Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano
Author
Abstract
Suggested Citation
DOI: 10.32468/be.603
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Other versions of this item:
- Carlos León & Francisco Vivas, 2010. "Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano," Borradores de Economia 7011, Banco de la Republica.
Citations
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Cited by:
- Tania I. Lagunes Vega & Sergio A. Zamora Castro & Oscar Velazquez Camilo & Ma Eugenia Alicia Diaz Vega & Ricardo Campos Campos, 2016. "Thermal Storage Systems Assessment for Energy Sustainability in Housing Units," Sustainability, MDPI, vol. 8(5), pages 1-19, April.
- Valencia, Marisol & Bedoya, Alejandro, 2013. "Prueba de sesgo sobre rendimientos financieros en el mercado colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 80, pages 79-102, November.
More about this item
Keywords
Hipótesis de mercados eficientes; caminata aleatoria; caminata aleatoria sesgada; consistencia temporal de la volatilidad; exponente de Hurst; rango reescalado; IDXTES; IGBC; TRM.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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