Publicación:
Estimación bayesiana de modelos de volatilidad estocástica

dc.contributor.authorMoreno Trujillo, John Freddy
dc.date.accessioned2014-12-20 13:52:33
dc.date.accessioned2022-09-08T13:38:47Z
dc.date.available2014-12-20 13:52:33
dc.date.available2022-09-08T13:38:47Z
dc.date.issued2014-12-20
dc.description.abstractEl modelo clásico para el comportamiento del precio de activos riesgosos asume volatilidad constante, lo que, por lo general, no coincide con el comportamiento de activos reales. Como alternativa se plantean modelos de volatilidad estocástica, que presentan una mayor número de parámetros y dificultad en su estimación. En el documento se describen algunos modelos de volatilidad estocástica en el contexto de modelos espacio estado, y la forma como puede realizarse su estimación aplicando algoritmos MCMC. Se considera el problema de la estimación de la función de verosimilitud en este tipo de modelos, y la forma como el muestreador de Gibbs se utiliza en estos casos. Se realiza la aplicación empírica utilizando series de acciones colombianas y se concluye acerca de los valores estimados en el proceso de volatilidad no observada de dichas series. Se propone la extensión a modelos con ruidos no gaussianos y saltos. spa
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dc.identifier.eissn2346-2140
dc.identifier.issn1794-1113
dc.identifier.urihttps://bdigital.uexternado.edu.co/handle/001/7469
dc.identifier.urlhttps://revistas.uexternado.edu.co/index.php/odeon/article/view/4017
dc.language.isospaspa
dc.publisherFacultad de Finanzas, Gobierno y Relaciones Internacionalesspa
dc.relation.bitstreamhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/4017/4318
dc.relation.bitstreamhttps://revistas.uexternado.edu.co/index.php/odeon/article/download/4017/4406
dc.relation.citationeditionNúm. 8 , Año 2014spa
dc.relation.citationissue8spa
dc.relation.ispartofjournalOdeonspa
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dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
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dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/spa
dc.sourcehttps://revistas.uexternado.edu.co/index.php/odeon/article/view/4017spa
dc.subjectVolatilidad estocásticaspa
dc.subjectestimación bayesianaspa
dc.subjectalgoritmos MCMCspa
dc.subjectfiltro de Kalman.spa
dc.titleEstimación bayesiana de modelos de volatilidad estocásticaspa
dc.title.translatedEstimación bayesiana de modelos de volatilidad estocásticaeng
dc.typeArtículo de revistaspa
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dc.type.localJournal articleeng
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dspace.entity.typePublication
person.familyNameMoreno Trujillo
person.givenNameJohn Freddy
person.identifier.gsidhttps://scholar.google.es/citations?user=j7aRNrAAAAAJ&hl=es
person.identifier.orcid0000-0002-2772-6931
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relation.isAuthorOfPublication.latestForDiscovery42bf6d50-5adc-4151-9517-43591b61e5f2
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