Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
Lo más reciente
Juan Sebastián Mariño-Montaña, Daniela Rodriguez-Novoa, Camilo Eduardo Sánchez-Quinto
Camilo Gómez, Mariana Escobar-Villarraga, Ligia Alba Melo-Becerra, Hector Manuel Zárate-Solano
Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document