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Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española
Chuliá, Helena; Torró, Hipòlit - In: Investigaciones Economicas 31 (2007) 3, pp. 445-474
El presente trabajo analiza la transmisión de volatilidad entre grandes y pequeñas empresas en el mercado de valores español. Para ello, se utiliza un modelo CAPM condicional GARCH-M multivariante asimétrico que, a su vez, permite contrastar la hipótesis del efecto feedback en la...
Persistent link: https://www.econbiz.de/10005736163
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Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín
Lelo-de-Larrea, Alejandra - 2020
Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...
Persistent link: https://www.econbiz.de/10012616394
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Las tic y el ingreso en las Pymes exportadoras del estado de Yucatán
Caro Encalada, Manuel J.; Leyva Morales, Carlos E.; … - In: Atlantic Review of Economics 2 (2015), pp. 1-29
Using an econometric model is analyzed the impact on income (as an indicator of competitiveness) of the degree of use of information and communication technologies by exporting Pymes operating in the State of Yucatán. Nine of the developed models explained properly and enough that the use of...
Persistent link: https://www.econbiz.de/10011536992
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Las tic y el ingreso en las Pymes exportadoras del estado de Yucatán
Caro Encalada, Manuel J.; Leyva Morales, Carlos E.; … - In: Atlantic review of economics : AROE 2 (2015)
Using an econometric model is analyzed the impact on income (as an indicator of competitiveness) of the degree of use of information and communication technologies by exporting Pymes operating in the State of Yucatán. Nine of the developed models explained properly and enough that the use of...
Persistent link: https://www.econbiz.de/10011453378
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Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín
Lelo-de-Larrea, Alejandra - 2020
Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...
Persistent link: https://www.econbiz.de/10012195193
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¿Son racionales los pronósticos de inflación? Una discusión sobre la base de la Encuesta de Expectativas del BCU (Are Inflation Forecasts Rational? A Discussion on the Basis of BCU’s Expectations Survey)
Zunino, Gonzalo - 2018
Spanish Abstract: Este trabajo pretende aportar evidencia sobre cómo se forman las expectativas inflacionarias y en qué medida la gente aprende de su experiencia. En otras palabras, sobre cuál es la relación entre los supuestos estándar de la teoría económica y la formación de las...
Persistent link: https://www.econbiz.de/10012940475
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Liquidez En Los Mercados Accionarios Colombianos : Cuánto Hemos Avanzado En Los Últimos 10 Años? (Liquid Funds in Colombian Stock Market: How Have We Improved in the Last 10 Years)
Agudelo, Diego A. - 2014
Spanish Abstract: ¿Cómo medir la liquidez de las acciones colombianas y su evolución en los últimos años?. En el contexto de la literatura de microestructura de mercados se presenta un método para medir la liquidez de las acciones. Además, con un modelo estadístico, se encuentra que la...
Persistent link: https://www.econbiz.de/10013055127
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Classical and Bayesian estimation of volatility in the Black-Scholes model
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262
volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for … volatility parameter, models of the Gamma family and the Standard Levy are assumed. The results obtained using the proposed …
Persistent link: https://www.econbiz.de/10014494469
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Varianza condicional de medias móviles no-lineales.
Ventosa-Santaulària, Daniel; Velázquez, Alfonso Mendoza; … - In: Ensayos Revista de Economia XXVII (2008) 2, pp. 29-48
We present a new heteroskedastic conditional variance model using NonLinear Moving Average as the basis for this specification [NLMACH(q)]. The typical problem of this class of models-i.e., noninvertibility—is solved by means of an intuitive parametric restriction; this allows us to use...
Persistent link: https://www.econbiz.de/10009143765
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Classical and Bayesian estimation of volatility in the Black-Scholes model
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 237-262
volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for … volatility parameter, models of the Gamma family and the Standard Levy are assumed. The results obtained using the proposed …
Persistent link: https://www.econbiz.de/10013486201