Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano
Year of publication: |
2010-05-20
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Authors: | León, Carlos ; Vivas, Francisco |
Institutions: | BANCO DE LA REPÚBLICA |
Subject: | Hipótesis de mercados eficientes | caminata aleatoria | caminata aleatoria sesgada | consistencia temporal de la volatilidad | exponente de Hurst | rango reescalado | IDXTES | IGBC | TRM |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | Spanish |
Notes: | 4 pages long |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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León, Carlos,
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León, Carlos,
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León, Carlos, (2009)
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