Palabras clave
Stable Processes
Diffusions with Jumps
Likelihood
Volatilidad Dinámica
Procesos Estables
Difusiones con Saltos
Verosimilitud
Cómo citar
Resumen
En el trabajo se presentan algunas experiencias en la modelación de datos financieros usando tres clases de modelos alternativos a los modelos Gaussianos lineales. Se consoderan modelos con volatilidad dinámica, estables de Lévy y difusiones con Saltos. Las técnicas son ilustradas con ejemplos de series financieras de tasas de cambio, futuros e índices
Citas
Alvarez, A.; Olivares, P. (2003) “M.l.e. for diffusion with jumps from discrete observations”, Reporte de Investigación. ICIMAF, 253-2003.
Bollerslev, T.; Chou, R.C.; Kroner, K. (1992) “ARCH modeling in finance”, Journal of Econometrics 52: 5–59.
Box, G.E.; Jenkins, G.M. (1976) Time Series Analysis, Forecasting and Control. Holden-Day.
Engle, R.F. (1995) ARCH: Selected Readings. Oxford University Press, Oxford.
Cont, R. (1999) “Statistical properties of financial time series”. Symposium on Mathematical Finance Fudan University, Shanghai.
Fama, E.; Roll, R. (1971) “Parameters estimates for symmetric stable distributions”, Journal of the American Statistical Association 66: 331–339.
Jacod, J.; Shiryaev, A.N. (1987) Limit Theorems for Stochastic Processes. Springer Verlag, New York.
Mandelbrot, B. (1963) “The variation of certain speculative prices”, J. of Bus. 26: 394–419.
McCulloch, J.H. (1963) “Measuring tail thickness in order to estimate the stable index α: a critique”, Bussiness and Economic Statistics 15: 74–81.
Samorodnitsky, G.; Taqqu, M.S. (1994) Stable non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, London.
Seco, L.; Alvarez, A.; Escobar, M.; Olivares, P. (2003) “An overview of estimation methods for stable distributions with financial applications”, Working Paper.
Shiriev, A.N. (1999) Essencials of Stochastic Finance. World Scientific, Singapur.
Sørensen, M. (1990) “Likelihood methods for diffusions with jumps”, Statistical Inference in Stochastic Processes. N.U. Prabhu & I.V. Basawa (Eds.). Marcel Dekker, New York: 67–106.
Weron R. (s.f.) “Performance of the etimators of stable laws”, Working paper.