Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
Lo más reciente
Ligia Alba Melo-Becerra, Diego Vásquez-Escobar, María Isabel Alarcón-Obando, Giselle Tatiana Silva-Samudio
Karina Acosta, Juliana Jaramillo-Echeverri, Daniel Lasso Jaramillo, Alejandro Sarasti-Sierra
Juan José Ospina-Tejeiro, Jorge Enrique Ramos-Forero, David Camilo López-Valenzuela, Yurany Hernández-Turca, Nicolle Valentina Herrera-Pinto
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