The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation of the volatility parameter for an asset using...

In this paper we study the presence of calendar anomalies in the main Latin- American stock markets, for the 1993 to 2007 period. The literature has shown that the detection of those effects may depend on error distribution assumptions (Baker et al., 2008), and that their existence could be due...