The importance of the electricity sector in the growth of economies encourages the study of the variables that determine the implementation of new investment projects in the sector. The barriers in the availability of fuels result in increased uncertainty, becoming a key issue in making...

The importance of the electricity sector in the growth of economies encourages the study of the variables that determine the implementation of new investment projects in the sector. The barriers in the availability of fuels result in increased uncertainty, becoming a key issue in making...

Un conjunto de modelos GARCH multivariados son estimados y su validez empírica comparada a partir del cálculo de la medida VaR, para los retornos diarios de la tasa de cambio nominal del peso colombiano con respecto al dólar americano, euro, libra esterlina y yen japonés en el periodo...

A fin de interpretar el desempeño del crédito bancario observado durante los años 90 y principios del actual decenio en Colombia, se construyó un modelo teórico de equilibrio general dinámico. Además, se puso a prueba econométrica la ecuación generada en tal modelo que establece una...

We jointly parameterized the generalized autoregressive conditional het- eroskedasticity that corresponds to the behavior of the variance of three variables: (a) the core Mexican stock market index (IPC), (b) the Emerging Markets Bond Index for Mexico (EMBI) as country risk pointer and, (c) the...

This paper presents the progress in the integration of the Latin American Integrated Market (MILA by its Spanish acronym) by studying the dynamic relationship between the volatilities of the markets that conform it: Colombia, Mexico, Peru and Chile. To achieve this objective, data between 2002...

This work proposes a model of electrical energy demand based on time series methods and semi-nonparametric statistics (SNP). This allows knowing not only the expected value of the demand but also its probability distribution so that, by calculating metrics such as the Quantile Risk Metrics,...

We jointly parameterized the generalized autoregressive conditional het- eroskedasticity that corresponds to the behavior of the variance of three variables: (a) the core Mexican stock market index (IPC), (b) the Emerging Markets Bond Index for Mexico (EMBI) as country risk pointer and, (c) the...

Spanish Abstract: La característica principal que diferencia los mercados de electricidad de otros mercados corresponde con la necesidad de producir la energía en el mismo instante que esta es consumida, a tal punto que en tiempo real los sistemas deben mantener un perfecto balance: en cada...

Spanish Abstract: Se plantea el coeficiente de dependencia asintótica, basado en cópulas, como una medida para la administración del riesgo en portafolios de acciones. Se describen algunos aspectos de las estructuras macro y microeconómicas del mercado en Colombia, motivando la introducción...