CUATRO HECHOS ESTILIZADOS DE LAS SERIES DE RENDIMIENTOS: UNA ILUSTRACIÓN PARA COLOMBIA (Article published in Spanish)

Authors

  • Julio César Alonso Cifuentes Economista, Universidad del Valle. Maestria en Economía, Iowa State University. Ph.D., Iowa University. Profesor Departamento de Economía Universidad Icesi.
  • Mauricio Alejandro Arcos Profesional en Economía y Negocios Internacionales, Universidad Icesi.Investigador Asistente, Universidad Icesi.

Keywords:

Asset Returns, Stylized Facts, Exchange Rate, IGBC, Volatility Clustering, Fat Tails

Abstract

Using data for the peso-dollar exchange rate and the Colombian stock exchange index we illustrate four well-known stylized facts of the financial time series. These facts are: i) prices follow a random walk process, ii) returns exhibit a leptokurtic distribution with fat tails, iii) as the time scale over which returns are calculated is increased, their distribution tends to "look like" a normal one (Aggregational Gaussianity), and iv) returns presents volatility clustering.

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Published

2006-09-30

Issue

Section

Research articles

How to Cite

CUATRO HECHOS ESTILIZADOS DE LAS SERIES DE RENDIMIENTOS: UNA ILUSTRACIÓN PARA COLOMBIA (Article published in Spanish). (2006). Estudios Gerenciales, 22(100), 103-124. https://www2.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/202