Mostrando 10 resultados de: 12
Filtros aplicados
Subtipo de publicación
Article(12)
Publisher
Mathematics(4)
Electronic Journal of Applied Statistical Analysis(1)
Energies(1)
Espacios(1)
European Research on Management and Business Economics(1)
Área temáticas
Dirección general(2)
Agricultura y tecnologías afines(1)
Ciencias de la Tierra de África(1)
Economía laboral(1)
Métodos informáticos especiales(1)
Área de conocimiento
Finanzas(10)
Algoritmo(3)
Optimización matemática(3)
Administración pública(1)
Econometría(1)
Origen
scopus(12)
A comparative performance review of the Venezuelan, Latin-American and emerging markets stock indexes with the North-American ones using a Gaussian two-regime Markov-switching model
ArticleAbstract: En el presente artículo se utiliza un modelo markoviano de cambio de régimen con dos estados para mePalabras claves:Desempeño de inversiones en Venezuela, Emerging markets, Investment performance in Venezuela, Markov-Switching models, MERCADOS EMERGENTES, Modelos markovianos de cambio de régimen, Portfolio selection, Selección de portafoliosAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusA markov-switching VSTOXX trading algorithm for enhancing EUR stock portfolio performance
ArticleAbstract: In the present paper, we test the benefit of using Markov-Switching models and volatility futures diPalabras claves:Active stock trading, Algorithmic trading, Markov-Switching GARCH, Volatility futures, Volatility hedging; active portfolio management, VSTOXX, VSTOXX futures tradingAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusA test of using markov-switching GARCH models in oil and natural gas trading
ArticleAbstract: In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oiPalabras claves:Active investment, Commodities, diversification, Energy futures, Energy price hedging, Institutional investors, Markov-switching, Markov-Switching GARCH, Portfolio ManagementAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusEvidence of stock market integration and short-term active portfolio opportunities in the emu countries with a gaussian markov-switching test
ArticleAbstract: In this paper we tested, with a two-regime Gaussian Markov-switching model, the weekly performance oPalabras claves:Active portfolio management, EMU stock markets integration, financial market integration, Markov-Switching modelsAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusEfficiency of the public pensions funds on the socially responsible equities of Mexico
ArticleAbstract: In the present work, we test the mean-variance efficiency that Mexican public pension funds would haPalabras claves:Asset-allocation, Markov-Switching models, Pension funds, Portfolio back test and simulation, SIEFORE, Socially responsible investmentAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusMarkov-switching stochastic processes in an active trading algorithm in the main Latin-American stock markets
ArticleAbstract: In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally HetePalabras claves:Active investment, Active stock trading, Algorithmic trading, Computational finance, Latin-American stock markets, Markov-switching, Markov-Switching GARCH, Markovian chainAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusUsing Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)
ArticleAbstract: In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views ofPalabras claves:Active portfolio management, Algorithmic trading, Black–Litterman, Markov-switching, mean–variance portfolio efficiency, optimal portfolio selection, optimal portfolio selection uncertaintyAutores:Del Río‐Rama M.d.l.C., Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusUsing Markov-Switching models in Italian, British, U.S. and Mexican equity portfolios: A performance test
ArticleAbstract: In this paper we test the use of Markov Switching models in equity trading strategies, following BroPalabras claves:Active portfolio management, Automated trading strategy, Markov Switching Models, Warning systemsAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusUsing Markov-switching models with Markov chain Monte Carlo inference methods in agricultural commodities trading
ArticleAbstract: In this work, the use of Markov-switching GARCH (MS-GARCH) models is tested in an active trading algPalabras claves:Alpha creation, Commodities, Commodities market trading, Computational finance, Financial crisis, Financial market crisis pbkp_rediction, Markov Chain Monte Carlo, Markov-Switching GARCH, Markovian chain processesAutores:Aguilasocho-Montoya D., José Álvarez-García, la Torre-Torres O.D., Simonetti B.Fuentes:scopusSimulating Portfolio Decisions under Uncertainty When the Risky Asset and Short Rate Are Modulated by an Inhomogeneous and Asset-Dependent Markov Chain
ArticleAbstract: This paper aims to simulate portfolio decisions under uncertainty when the diffusion parameters of tPalabras claves:diffusion process, Markov regime switching, portfolio simulation, short rateAutores:José Álvarez-García, la Torre-Torres O.D., Vallejo-Jiménez B., Venegas-Martínez F.Fuentes:scopus