No linealidad en series financieras: ¿transitoria o permanente?
Resumen
En este artículo presentamos evidencia de que los episodios de no linealidad en las series financieras son más permanentes que transitorios. Al mismo tiempo, estos episodios muestran diferentes comportamientos según el mercado analizado, lo que indicaría que no están completamente sincronizados. Por otro lado, el tamaño de la ventana para detectar episodios no lineales afecta el número de ventanas no lineales encontradas, así como el porcentaje de ventanas no lineales con respecto al número total de ventanas, lo que confirma el efecto del tamaño de la ventana. Los resultados invalidan fuertemente la hipótesis de mercados eficientes y explican con fuerza la incapacidad de predecir sus valores futuros.Palabras clave:
Prueba de Hinich, Modelo Rolling, Índices accionarios, Efecto de tamaño de ventanaReferencias
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