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Crude oil and biofuel agricultural commodity prices
Coronado, Semei; Rojas, Omar; Romero, Rafael; Serletis, … - In: Uncertainty, expectations and asset price dynamics : …, (pp. 107-123). 2018
Persistent link: https://www.econbiz.de/10012015041
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A Bayesian approach to model changes in volatility in the Mexican stock exchange index
Cabrera, Gustavo; Coronado, Semei; Rojas, Omar; Romero, … - In: Applied economics 50 (2018) 15, pp. 1716-1724
Persistent link: https://www.econbiz.de/10011848848
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Adaptive efficiency of the Mexican Stock Exchange
Brito-Cervantes, Esmeralda; Coronado, Semei; … - In: Academia Revista Latinoamericana de Administración 31 (2018) 2, pp. 326-335
Purpose: The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in...
Persistent link: https://www.econbiz.de/10012066078
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<scp>Time‐varying</scp> causality between bond and oil markets of the United States : Evidence from over one and half centuries of data
Coronado, Semei; Gupta, Rangan; Nazlioglu, Saban; … - In: International Journal of Finance & Economics (2021)
Persistent link: https://www.econbiz.de/10012535451
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A nonlinear empirical analysis of oil price co-movements
Coronado, Semei; Fullerton, Thomas M.; Rojas, Omar - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 290-294
Persistent link: https://www.econbiz.de/10011881372
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Causality patterns for Brent, WTI, and Argus oil prices
Coronado, Semei; Fullerton, Thomas M.; Rojas, Omar - In: Applied economics letters 24 (2017) 13/15, pp. 982-986
Persistent link: https://www.econbiz.de/10011715488
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Time-varying causality between bond and oil markets of the United States : evidence from over one and half centuries of data
Coronado, Semei; Gupta, Rangan; Nazlıoğlu, Şaban; … - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2239-2247
Persistent link: https://www.econbiz.de/10014327517
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Time-varying multivariate causality among infectious disease pandemic and emerging financial markets : the case of the Latin American stock and exchange markets
Coronado, Semei; Martínez, José; Romero, Rafael - In: Applied economics 54 (2022) 34, pp. 3924-3932
Persistent link: https://www.econbiz.de/10013410854
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Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
Semei Coronado-Ram\'irez; Celso-Arellano, Pedro; Rojas, Omar - arXiv.org - 2014
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation...
Persistent link: https://www.econbiz.de/10011228214
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Financial Time Series: Stylized Facts for the Mexican Stock Exchange Index Compared to Developed Markets
Rojas, Omar; Trejo-Pech, Carlos - arXiv.org - 2014
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study is 1997-2011. The stylized facts are related mostly to...
Persistent link: https://www.econbiz.de/10011096725