regimes are sudden and sporadic. The Colombian economy remains in the sustainable growth regime most of the time. The turning … points from the Markov switching model capture very well the behavior of real output through time. In fact, they identify the …

regime model with both fixed (FTP) and time-varying transition probabilities (TVTP) to explain regime changes in the economic … rejected in favour of the time-varying transitional probabilities, meaning that the correct model is the one with endogenous …

diarios y diferentes ventanas de tiempo para el evento, y estimamos los retornos usando tres modelos alternativos (CAPM, CAPM …

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical … linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC …), supporting the hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM. …

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … fixes the CAPM’s bias resulting from this abiding –but flawed- assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …

known as the univariate time series ARIMA . This model is based on past inflation which is traditionally approximated by the …