Aplicación de procesos Poisson-Gaussianos a los activos nacionales: desechando la distribución normal

Guillermo Einar Moreno Quezada ()
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Guillermo Einar Moreno Quezada: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 2, 136-149

Abstract: Risks management nowadays is divided into three great topics: calculation of derivate products, interest rate modeling and the financial and economic risks area. From the works made by Bachelier (1900), financial modeling has involved Brownian motion. This leads us to keep suppositions that include from log normal behaviors of the asset's prices to variances that are not proportional to time. This paper suggests the utilization of another distribution rather than normal for financial theory using the profits of a group of eleven national assets. It involves utilization of a Poisson-Gaussian distribution and uses an approximation suggested by Sanjiv Das (1998) to obtain the function of Log-likelihood for the group of eleven assets belonging to the Mexican Stock Exchange and their series from January 1st, 1994 to December 31st, 2004

Keywords: Tasas; de; interés (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200810

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