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Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado...
Villalba Padilla, Fátima Irina; Flores-Ortega, Miguel - In: Revista de Métodos Cuantitativos para la Economía y … 17 (2014), pp. 3-22
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...
Persistent link: https://www.econbiz.de/10011307204
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Forecasting the variance and return of Mexican financial series with symmetric GARCH models
Villalba Padilla, Fátima Irina; Flores-Ortega, Miguel - In: Theoretical and applied economics : GAER review 20 (2013) 3, pp. 61-82
Persistent link: https://www.econbiz.de/10009727004
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Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado...
Villalba Padilla, Fátima Irina; Flores-Ortega, Miguel - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 3-22
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...
Persistent link: https://www.econbiz.de/10010360975
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Fronteras de eficiencia en la producción de electricidad en México 1999-2009
Galicia-Palacios, Alexander; Flores-Ortega, Miguel; … - In: Análisis económico 30 (2015) 75, pp. 113-138
Persistent link: https://www.econbiz.de/10011643531
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Forecasting the variance and return of Mexican financial series with symmetric GARCH models
PADILLA, Fátima Irina VILLALBA; FLORES-ORTEGA, Miguel - In: Theoretical and Applied Economics XVIII(2013) (2013) 3(580), pp. 61-82
The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as...
Persistent link: https://www.econbiz.de/10011005041
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Forecasting the variance and return of Mexican financial series with symmetric GARCH models
Villalba Padilla, Fátima Irina; Flores-Ortega, Miguel - In: Theoretical and applied economics : GAER review 20 (2013) 3, pp. 61-82
Persistent link: https://www.econbiz.de/10010118771
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Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado...
Padilla, Villalba; Irina, Fátima; Flores-Ortega, Miguel - In: Revista de Métodos Cuantitativos para la Economía y … 17 (2014) 1, pp. 3-22
Se parametriza de forma conjunta la heteroscedasticidad condicional autorregresiva generalizada que corresponde al comportamiento de la varianza de tres variables: (a) el índice de precios y cotizaciones (IPC), indicador principal del mercado bursátil mexicano, (b) el emerging markets bond...
Persistent link: https://www.econbiz.de/10010780734