文章基本信息

标题：CUATRO HECHOS ESTILIZADOS DE LAS SERIES DE RENDIMIENTOS: UNA ILUSTRACIÓN PARA COLOMBIA
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作者：Julio César Alonso Cifuentes ; Mauricio Alejandro Arcos
期刊名称：Estudios Gerenciales
印刷版ISSN：0123-5923
出版年度：2006
卷号：22
期号：100
页码：103-124
语种：Spanish
出版社：Universidad Icesi
摘要：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.
其他摘要：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.
关键词：Asset Returns;Stylized Facts;Exchange Rate;IGBC;Volatility Clustering;Fat Tails;RENDIMIENTOS FINANCIEROS;TASA DE CAMBIO;BOLSA DE VALORES