Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas

José Carlos Ramirez Sánchez ()
Additional contact information
José Carlos Ramirez Sánchez: ITESM y CIDE

Revista de Analisis Economico – Economic Analysis Review, 2004, vol. 19, issue 1, 51-76

Abstract: This paper deals with the main theoretical problems regarding the application of stochastic processes to leptokurtic financial return distributions. A sort of statistical tests based on the stock index Banamex 30 is performed in order to choose the stochastic model that provides the best fit to the fat- tailed empirical distribution, allowing for a better return forecasting or value at risk estimate. In choosing that model the paper points out that any single set of stastistical criteria is not appropriate if it is not confronted with the risk manager's experience. Understanding the investor's aversion risk or the transaction costs involved in any trading strategy, among other elements, is very important to justify the use of any stochastic process in risk management techniques.

Keywords: stochastic process; leptokurtic financial return distribu-tions; return forecasting; value at risk estimate (search for similar items in EconPapers)
JEL-codes: C52 G11 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/35 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ila:anaeco:v:19:y:2004:i:1:p:51-76

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().