Prueba de no linealidad para series temporales financieras
DOI:
https://doi.org/10.22517/23447214.505Abstract
Este artículo propone el análisis del precio del oro como una señal financiera de alta relevancia. La metodología desarrollada propone i) un pre-procesamiento de la señal de no estacionaria a estacionaria. ii) aplicación del método de los datos sustitutos como mecanismo para la detección de no linealidad, a partir de la formulación de una escala de hipótesis nulas. iii) selección de una batería de estadísticos de prueba no lineales que permiten comparar el comportamiento de la señal original con el conjunto de datos sustitutos generados. iv) aplicación de un criterio de rechazó o aceptación de las hipótesis.Downloads
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