Resumo

ALONSO, JULIO CÉSAR  e  ARCOS, MAURICIO ALEJANDRO. CUATRO HECHOS ESTILIZADOS DE LAS SERIES DE RENDIMIENTOS: UNA ILUSTRACIÓN PARA COLOMBIA. estud.gerenc. [online]. 2006, vol.22, n.100, pp.103-123. ISSN 0123-5923.

Using data for the peso-dollar exchange rate and the Colombian stock exchange index we illustrate four well-known stylized facts of the financial time series. These facts are: i) prices follow a random walk process, ii) returns exhibit a leptokurtic distribution with fat tails, iii) as the time scale over which returns are calculated is increased, their distribution tends to "look like" a normal one (Aggregational Gaussianity), and iv) returns presents volatility clustering.

Palavras-chave : Asset Returns; Stylized Facts; Exchange Rate; IGBC; Volatility Clustering; Fat Tails.

        · resumo em Espanhol     · texto em Espanhol     · Espanhol ( pdf )