El coeficiente de Hurst y el parámetro -estable para el análisis de series financieras Aplicación al mercado cambiario mexicano
Contaduría y Administración, 2014, vol. 59, issue 1, 149-173
This paper addresses the utility of estimating the parameter of -stable distribution and the Hurst coefficient for financial series in periods of high volatility. By estimating the Hurst coefficient and the parameter we seek to explore the violation of two assumptions in modeling financial series, the assumption that the series are normally distributed and that the successive returns are independent. We present the case of the peso dollar Fix Mexico exchange rate in the 1992-2011 period. One of the main results is the identification of fractal characteristics and heavy tails in the series for some periods in different magnitudes, such differences are accentuated during crisis periods. Characterizing the series by these parameters through an index will improve decision-making on the type of analysis that is methodologically correct to apply in a specific time window for asset pricing and risk management.
Keywords: movimiento browniano fraccional; coeficiente de Hurst; distribuciones alfa estables; colas pesadas (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:59:y:2014:i:1:p:149-173
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