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Cuadernos de Economía

Print version ISSN 0121-4772

Abstract

MENDOZA PINEROS, Andrés Mauricio  and  JIMENEZ MOSCOSO, José Alfredo. ANÁLISIS DE LA DISTRIBUCIÓN DE LAS TASAS DE RETORNO ACCIONARIAS HACIENDO USO DE LA DISTRIBUCIÓN G Y H DE TUKEY. Cuad. Econ. [online]. 2010, vol.29, n.52, pp.213-235. ISSN 0121-4772.

This paper presents some properties and limitations of the Tukey´s g and h family of distributions. It develops the density function when the parameters g and h are not constant, which is a major breakthrough considering the recurrence of this in the applications of the behaviour of distributions of financial assets. These theoretical developments allow a more detailed analysis in the stock sector when one wants to know and describe the behaviour of the distribution of rates of return.

Keywords : Tukey´s g and h family of distributions; quantiles; skewness and elongation of the tails.

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