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Diseño De Un Portafolio De Inversión a Partir De Un Modelo De Programación No Lineal : Caso Colombia 2013-2014 (Design of a Investment Portfolio Using Non-Linear Programming: Case of Colombia 2013-2014)

Ramírez Aristizábal,, John Dairo - 2016

Spanish Abstract: La relación existente entre el riego y la rentabilidad de un activo financiero es una preocupación constante del inversionista a la hora de conformar su portafolio de inversión. La principal meta en la construcción del portafolio consiste en distribuir óptimamente la...

Persistent link: https://www.econbiz.de/10013003495

La ubicuidad de los hábitos y las reglas

Hodgson, Geoffrey M. - In: Revista de Economía Institucional 2 (2000) July-december, pp. 11-43

Under what circumstances is it necessary or convenient for an agent to rely on habits and rules? This paper focuses on the types of decision situation giving rise to their use. Even optimisation requires the development of rules, and for this reason mainstream economics cannot legitimately...

Persistent link: https://www.econbiz.de/10005747233

¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?

Medel, Carlos A. - 2012

Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the...

Persistent link: https://www.econbiz.de/10015230106

Los determinantes a largo plazo y su contribución a la tasa de ahorro de los hogares españoles en el período 1985-2016

de Andrés Mosquera, Andrés - In: Revista de Métodos Cuantitativos para la Economía y … 24 (2017), pp. 292-339

The paper studies the behavior of the household saving rate during the period from 1985 to 2016. We examine the variables considered by the literature to determine the long-term saving rate: Income, wealth, unemployment, credit and indebtedness, public savings, population structure, social...

Persistent link: https://www.econbiz.de/10011995006

La ley de Okun: una relectura para México, 1970-2004

Loría, Eduardo; Manuel G. Ramos. - In: Estudios Económicos 22 (2007) 1, pp. 19-55

We estimated the dynamic relationship between the unemployment rate and output for the Mexican Economy for annual data (1970-2004). We estimated three structural time series models by using the Kalman filter. We found a coefficient in the range 2.08-2.5. In order to avoid spuriousness, we proved...

Persistent link: https://www.econbiz.de/10005434705

Aplicación de procesos con raíz unitaria estocástica a índices bursátiles

Salido, Román Mínguez; Martínez, Eduardo Morales - In: Investigaciones Economicas 30 (2006) 1, pp. 163-174

En este trabajo se estudian los procesos de raíz unitaria estocástica (STUR) como una generalización de los procesos de raíz unitaria fija. Así, se repasan tanto sus principales características estadísticas, como los métodos de detección y contraste desarrollados para este tipo de...

Persistent link: https://www.econbiz.de/10005690068

Estimación de la tasa de cambio real de equilibrio: aplicación a Colombia

González, Jaime Silva - In: REVISTA DE ECONOMÍA DEL CARIBE (2009)

The aim of this study is to gather empirical evidence to discern theimpact of real exchange rate on the Colombian economy during 1990to 2002. The problem when you try to find this impact is the estimationof the real exchange rate of equilibrium, the one that is consistentwhit the simultaneous...

Persistent link: https://www.econbiz.de/10008527486

Stationarity, structural breaks, and economic growth in Mexico: 1895-2008

Noriega, Antonio E.; Rodríguez-Pérez, Cid Alonso - Banco de México - 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/10009318030

Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media

Venegas-Martínez, Francisco; Sánchez-Torres, Francisco J. - In: Revista de Administración, Finanzas y Economía … 2 (2008) 2, pp. 92-103

This paper shows, under certain conditions, the convergence of the GARCH (1.1)-M model to the geometric Brownian motion with mean reversion (diffusion GARCH process). The importance from this result is that the problem of inference on the parameters of the valuation models of options with...

Persistent link: https://www.econbiz.de/10008585862

Regresión espuria en especificaciones dinámicas.

Zaldivar, Manuel Gómez; Castro, Oscar Manjarrez; … - In: Ensayos Revista de Economia XXVIII (2009) 1, pp. 1-20

The spurious regression phenomenon, identified by Granger and Newbold (1974) is well known in econometrics. In fact …, spurious regression occurs under a wide variety of Data Generating Processes: driftless unit root, unit root with drift, trend … specification to be estimated is a simple linear regression with a single regressand. We prove in this article that the spurious …

Persistent link: https://www.econbiz.de/10009141609