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scopus(4)
A 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: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:scopusPotential improvements to pension funds performance in Mexico
ArticleAbstract: Nowadays, the average Mexican pension saver makes a noisy and uninformed investment decision of itsPalabras claves:Markov-switching, Portfolio selection, Private Pension Funds, Sharpe RatioAutores:Herrera F.L., José Álvarez-García, la Torre-Torres O.D., Santillán-Salgado R.J.Fuentes:scopus