Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes

Stochastic model for risky assets price using Hawkes processes

John Freddy Moreno Trujillo

MPRA Paper from University Library of Munich, Germany

Abstract: El documento presenta los elementos básicos para entender los procesos Hawkes y su aplicación en finanzas. Se caracteriza el comportamiento asintótico de estos procesos y se describe el proceso de difusión de Hawkes como modelo para el retorno logarítmico de activos riesgosos en continuo.

Keywords: procesos Hawkes; finanzas (search for similar items in EconPapers)
JEL-codes: C60 C65 (search for similar items in EconPapers)
Date: 2019-05-13
New Economics Papers: this item is included in nep-ore
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Published in odeon Núm. 15 (2018): Julio-Diciembre.15(2019): pp. 161-172

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101327

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