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models T-ARCH and GARCH. …
Persistent link: https://www.econbiz.de/10005148423
Persistent link: https://www.econbiz.de/10005597629
colombiano. Para esto, se usan medidas tradicionales de profundidad del mercado, además de modelos GARCH, estimadores de razones …
Persistent link: https://www.econbiz.de/10005274542
The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long-term timing of the exchange markets is low; 2) there is no...
Persistent link: https://www.econbiz.de/10011995022
The exchange markets and the exchange rates of Asia and Latin America are studied econometrically. Endogenous structural change and cointegration analyzes and impulse-response functions are used. The findings indicate that: 1) the long-term timing of the exchange markets is low; 2) there is no...
Persistent link: https://www.econbiz.de/10011870778
The aim of this paper consists of describing, analysing and modelling the dynamic of dailyprice series and its volatility in the Spanish Wholesale Electricity Market. The article describes themain characteristics of the sector after the deregulation process and the factors that establish...
Persistent link: https://www.econbiz.de/10005731102
El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un …
Persistent link: https://www.econbiz.de/10005603782
This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using th
Persistent link: https://www.econbiz.de/10005510185
We construct inflation pressure indicators based on the long-run relationship that exists between monetary aggregates and prices, once it is adequately adjusted to account for the scale of transactions, as well as the opportunity cost of holding money. To that end, an extensive long-run...
Persistent link: https://www.econbiz.de/10011445082
This paper presents an econometric analysis of the demand for the monetary aggregate M1 in Mexico. Using cointegration techniques, we identify both a stable long-run relationship between M1 and its determinants, and a statistically sound single-equation error-correction model. Results are used...
Persistent link: https://www.econbiz.de/10011445093