Este artículo explora algunos conceptos de la teoría de la información que se desarrollaron inicialmente en física e ingeniería y que hoy se emplean en muchas disciplinas. La información es inversamente proporcional a la probabilidad de ocurrencia de un evento y la entropía el valor...

The aim of this article is to summarize exhaustively and concisely, the different methodologies for estimating the volatility that has been proposed for the real options approach (ROA), and also provide a theoretical and practical explanation for estimating an unbiased volatility and...

This paper shows the forecast of the exchange rate between the Colombian peso and the US dollar (hereinafter the dollar) from December 2019 to December 2020, based on a VEC (Vector error correction) model based on the parity hypothesis of weak purchasing power. With this, it´ s proposed that...

In this article, the behavior of the returns of some assets of MILA is analyzed, with the objective of looking for evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The methodology of the rescaled range is used in the estimation...

En el artículo se presentan algunas propiedades y limitaciones de la familia de distribuciones g y h de Tukey. Se desarrolla la función de densidad cuando los parámetros g y h no son constantes, lo cual es un gran avance considerando la recurrencia de este aspecto en las aplicaciones sobre el...

La calibración del modelo Nelson-Siegel para ajustarse a curvas de rendimientos soberanas se ha encontrado problemática, pues presenta correlación entre sus factores y genera funciones objetivas con múltiples óptimos locales. Estos problemas no han sido profundizados en el contexto...

The aim of this article is to summarize exhaustively and concisely, the different methodologies for estimating the volatility that has been proposed for the real options approach (ROA), and also provide a theoretical and practical explanation for estimating an unbiased volatility and...

Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market,...

English Abstract: One of the canonical models in the field of international commodity financial markets modelling is known as the Gibson and Schwartz (1990) model. In this model, the net spot instantaneous convenience yield is modelled through an Ornstein-Uhlenbeck process. Based on this, it is...

This paper shows the forecast of the exchange rate between the Colombian peso and the US dollar (hereinafter the dollar) from December 2019 to December 2020, based on a VEC (Vector error correction) model based on the parity hypothesis of weak purchasing power. With this, it ́s proposed that...