Borradores de Economia
Número:
622
Publicado:
Clasificación JEL:
G11, G32, G20, C14
Palabras clave:
Portfolio optimization, Hurst exponent, long-term dependence, biased random walk
Lo más reciente
Mario Andrés Ramos-Veloza, Sara Naranjo-Saldarriaga, José Pulido
Rocío Clara Alexandra Mora-Quiñones, Antonio José Orozco-Gallo, Dora Alicia Mora-Pérez
Constanza Martínez-Ventura, Ligia Alba Melo-Becerra
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