Asymmetric Stochastic Volatility Models and Multicriteria Decision Methods in Finance

• Autores: María Carmen García Centeno, Román Mínguez Salido
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 3, 2011, pág. 5
• Idioma: español
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• Resumen

  • In order to make a decision in any given context, it is necessary to have as much information as possible. For this reason, the objective of this paper is to choose a method, the most objectively possible, to establish an order of preferences between different stock index returns using all available statistical and econometrical information.

    The TGARCH(1,1) and TA-ARSV(1) are models estimated to obtain the econometrical information. This information is evaluated using discrete multicriteria decision methods such as PROMETHEE Methods, with the aim of obtaining a ranking of preferences between the different Stock Market Indexes in several scenarios. The different scenarios proposed show that the results obtained in the complete ranking of the different financial returns are robust