¿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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https://doi.org/10.29105/ensayos36.1-1Palabras clave:
Mercados bursátiles, Memoria larga, Métodos econométricos de series de tiempoResumen
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.Descargas
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Derechos de autor 2017 Héctor F. Salazar-Núñez, Francisco Venegas-Martínez, Cuahutémoc Calderón-Villareal
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.
