En este artículo se estudia el comportamiento de la tasa de crecimiento del PIB colombiano entre 1982-2008 a partir de un modelo SETAR (Self-Exciting Threshold Autoregressive), empleando la metodología propuesta por Tsay (1989) y Tong (1990) para la detección de no linealidades relacionadas...

Este trabajo pretende mostrar evidencia de no linealidad en el índice de empleo industrial colombiano. Para esto, se estiman los modelos SETAR y STAR, usando la serie mensual del índice para el periodo 1990-2010. El artículo presenta además una comparación del desempeño de pronósticos de...

The nonlinear modelization has experimented a great resurgence of the hand of Chaos Theory, which shown the possibility of obtaining complex behaviors produced endogenously by the dynamics of the model, without the necessity to include exogenous random shocks. On the other hand, the importance...

El trabajo analiza el comportamiento del Ibex35, durante el período que abarca desde enero de 1999 a diciem¬bre de 2011, con el objetivo de comprobar si sigue un proceso diferente al paseo aleatorio, de tal forma que su rendimiento no se caracteriza por ser ruido blanco y resulta, en contra de...

La relación entre la teoría y la políticaeconómica con la práctica y el modelamientoempírico cada día cobra másimportancia. El economista en susinvestigaciones teóricas y/o empíricasante todo debe clarificar y delimitar elcontexto específico de análisis en elcampo teórico económico...

This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of...

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

This paper belongs to my research program on violence and terrorism started in 1993, as a consequence of the growing concern regarding the increase in Colombian violence, and especially for its escalation during the 1990’s. After 14 years of research, particularly after developing a model of...

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the...