Una propuesta para evaluar pronósticos de rendimientos de acciones cuando las distribuciones empíricas no son normales estacionarias

José Carlos Ramírez; Rogelio Sandoval Saavedra

doi:10.24201/ee.v18i2.182

36-vol. 18, no. 2, july-december, 2003

Articles

A proposal to evaluate stock performance forecasts when empirical distributions are not normally stationary

PDF (Español)

José Carlos Ramírez,
Rogelio Sandoval Saavedra

more info

José Carlos Ramírez
Instituto Tecnológico y de Estudios Superiores de Monterrey

Rogelio Sandoval Saavedra
Secretaría de Hacienda y Crédito Público

DOI: https://doi.org/10.24201/ee.v18i2.182

Published 2003-07-01

Keywords

exchange-rate,
mexican peso,
american dollar,
purchasing power

How to Cite

Ramírez, J. C., & Sandoval Saavedra, R. (2003). A proposal to evaluate stock performance forecasts when empirical distributions are not normally stationary. Estudios Económicos De El Colegio De México, 18(2), 237–277. https://doi.org/10.24201/ee.v18i2.182

Metrics

Abstract

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.