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Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47046
DC FieldValueLanguage
dc.contributor.authorPérez Rodríguez, Jorge Vicenteen_US
dc.contributor.authorTorra, Salvadoren_US
dc.date.accessioned2018-11-23T10:24:26Z-
dc.date.available2018-11-23T10:24:26Z-
dc.date.issued2003en_US
dc.identifier.issn0210-2412en_US
dc.identifier.urihttp://hdl.handle.net/10553/47046-
dc.description.abstractThis paper studies the nonstationary and nonlinear dynamics of the stock returns on the Ibex35 Stock Exchange Market. We analyze the nonstationary and nonlinear path of time series using unit root tests, mean reversion test, long-term memory test, BDS standard and recursive test, and regime switching models for the volatility. These are analyzed and fitted during the period 30/12/1989 to 10/2/2000. The results of the nonstationary and nonlinearity tests imply that we may have a good chance to fit and forecast more accurately the daily stock returns by using nonlinear models.en_US
dc.languagespaen_US
dc.publisher0210-2412
dc.relation.ispartofRevista Española de Financiación y Contabilidaden_US
dc.sourceRevista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 32, p. 1177-1203en_US
dc.subject530202 Modelos econométricosen_US
dc.subject.otherAnálisis de series temporalesen_US
dc.subject.otherIbex35en_US
dc.titleMean reversion, non-linearity and regime in time series of Ibex 35en_US
dc.title.alternativeReversión a la media, no linealidad y cambios de régimen en la evolución temporal del IBEX35en_US
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.scopus77953761693-
dc.contributor.authorscopusid56216749800-
dc.contributor.authorscopusid9036281900-
dc.description.lastpage1203-
dc.description.firstpage1177-
dc.relation.volume32-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.utils.revisionSíen_US
dc.date.coverdateOctubre 2003
dc.identifier.ulpgcSíes
dc.description.sellofecytSello FECYT
dc.description.ssciSSCI
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-6738-9191-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNamePérez Rodríguez, Jorge Vicente-
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