This paper proposes a systemic risk index based on Functional Data Analysis (FDA), overcoming salient shortcomings of standard methodologies related to data usage, data sparseness, and high dimensionality issues. Using Mexican data, a set of systemic risk indexes are constructed and we show that...

En este trabajo se presentan algunos metodos de combinacion de pronosticos de diferentes modelos econometricos. Estas metodologias tienen como principal objetivo encontrar una combinacion lineal de pronosticos que produzca una prediccion mejorada en terminos de precision. Se emplean estos...

If there is valuable information for predicting bond prices over time, how can we use this information to improve investor's risk-return trade-off and term structure modelling? This thesis aims at answering this question. The first chapter discusses the predictive role of alternative measures of...