Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

Spanish Abstract: ¿Cómo medir la liquidez de las acciones colombianas y su evolución en los últimos años?. En el contexto de la literatura de microestructura de mercados se presenta un método para medir la liquidez de las acciones. Además, con un modelo estadístico, se encuentra que la...

Using an econometric model is analyzed the impact on income (as an indicator of competitiveness) of the degree of use of information and communication technologies by exporting Pymes operating in the State of Yucatán. Nine of the developed models explained properly and enough that the use of...

Using an econometric model is analyzed the impact on income (as an indicator of competitiveness) of the degree of use of information and communication technologies by exporting Pymes operating in the State of Yucatán. Nine of the developed models explained properly and enough that the use of...

Spanish Abstract: Este trabajo pretende aportar evidencia sobre cómo se forman las expectativas inflacionarias y en qué medida la gente aprende de su experiencia. En otras palabras, sobre cuál es la relación entre los supuestos estándar de la teoría económica y la formación de las...

El presente trabajo analiza la transmisión de volatilidad entre grandes y pequeñas empresas en el mercado de valores español. Para ello, se utiliza un modelo CAPM condicional GARCH-M multivariante asimétrico que, a su vez, permite contrastar la hipótesis del efecto feedback en la...

The hierarchical structure of the Colombian Consumer Price Index (CPI) makes possible to calculate inflation as a linear combination of its subcomponents. We use SARIMA models to forecast each component of CPI and construct an forecast of inflation using a lineal combination of the forecasts of...