The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously, it is said that the series is driven by white noise. This paper is aimed at...

This paper examines, through the concept of mutual information based on entropy, the impact of monetary policy on the loss of efficiency in the financial markets and speculative bubbles. The proposed information measure is useful to quantify the efficiency with which financial markets respond to...

This paper examines, through the concept of mutual information based on entropy, the impact of monetary policy on the loss of efficiency in the financial markets and speculative bubbles. The proposed information measure is useful to quantify the efficiency with which financial markets respond to...

Resumen El presente trabajo compara la capacidad de varios modelos de volatilidad dependiente del tiempo para explicar la dinámica estocástica del Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores (BMV). En particular se analizan procesos los ARCH, M-GARCH, EGARCH y...

This paper develops a stochastic dynamic general equilibrium model to assess the impact of Real Estate Investment Trust (REIT) in the growth rate of the real estate sector through direct investment in infrastructure. Based on the theoretical relationships that the model provides we show...

La presente investigación indaga en la relación entre emisiones de gases de efecto invernadero (GEI) y crecimiento económico; en particular, busca medir el impacto de estas emisiones en el Producto Interno Bruto (PIB), a partir de la identificación de las fuentes contaminantes y sus costos...