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Forecasting short-run inflation volatility using futures prices : an empirical analysis from a value at risk perspective
Benavides, Guillermo - 2010
In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation … traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day … day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer …
Persistent link: https://www.econbiz.de/10008737147
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Estacionariedad, cambios estructurales y crecimiento económico en México : 1895-2008
Noriega-Muro, Antonio E.; Rodríguez-Pérez, Cid Alonso - 2011
This paper shows that the evolution of the level of Mexico real and real per capita output between 1895 and 2008 can be adequately described through a trendstationary model, affected by 4 structural breaks, which occurred at dates that seem to coincide with domestic institutional arrangements,...
Persistent link: https://www.econbiz.de/10009348003
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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …
Persistent link: https://www.econbiz.de/10012292347
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Economic growth and public and private investment returns
Afonso, António; St. Aubyn, Miguel - 2016
Persistent link: https://www.econbiz.de/10011549508