¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?)

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Héctor F. Salazar-Núñez
Francisco Venegas-Martínez
Cuahutémoc Calderón-Villareal

Resumen

El presente trabajo cuestiona si realmente existe memoria larga en los principales mercados accionarios del mundo y, en caso de que esta exista, a qué se debe: ¿al tipo de modelos econométricos empleados, al periodo o la frecuencia de los datos? Para ello, se realiza un análisis comparativo entre modelos ARFIMA y GARCH. Los únicos mercados que mostraron resultados consistentes de memoria larga, independientemente del método, periodo y frecuencia, fueron China y Corea del Sur. El primero tiene memoria larga y el segundo, corta.

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Salazar-Núñez, H. F., Venegas-Martínez, F., & Calderón-Villareal, C. (2017). ¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?). Ensayos Revista De Economía, 36(1), 1–24. https://doi.org/10.29105/ensayos36.1-1
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Héctor F. Salazar-Núñez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Francisco Venegas-Martínez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Cuahutémoc Calderón-Villareal, Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

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