A proposal to evaluate stock performance forecasts when empirical distributions are not normally stationary
This paper deals with the main problems related to predictability of asset returns when data series are not normally stationary distributed. The statistical analysis includes several normality tests on returns series of Banamex-30 stocks first, and then an application of mixture of probability distr...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2003 |
| País: | México |
| Institución: | EL COLEGIO DE MÉXICO |
| Repositorio: | Estudios Económicos de El Colegio de México |
| Idioma: | español |
| OAI Identifier: | oai:oai.estudioseconomicos.colmex.mx:article/182 |
| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/182 |
| Access Level: | acceso abierto |
| Palabra clave: | exchange-rate mexican peso american dollar purchasing power C52 G11 índice Banamex-30 modelo de Markov |
| Sumario: | This paper deals with the main problems related to predictability of asset returns when data series are not normally stationary distributed. The statistical analysis includes several normality tests on returns series of Banamex-30 stocks first, and then an application of mixture of probability distributions and stochastic processes to series, which are not normal stationary. As a means to avoid the normality assumption when forecasting asset returns, we introduce a second-order Markov model. |
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