Mostrando 10 resultados de: 14
Filtros aplicados
Subtipo de publicación
Article(14)
Publisher
Mathematics(4)
Espacios(2)
Electronic Journal of Applied Statistical Analysis(1)
Energies(1)
European Research on Management and Business Economics(1)
Área temáticas
Economía financiera(12)
Dirección general(3)
Economía laboral(3)
Agricultura y tecnologías afines(1)
Ciencias de la Tierra de África(1)
Área de conocimiento
Finanzas(11)
Algoritmo(3)
Optimización matemática(3)
Administración pública(1)
Econometría(1)
Evidence 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:scopusA 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: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: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:scopusTesting an algorithm with asymmetric markov-switching garch models in us stock trading
ArticleAbstract: In the present paper, we extend the current literature in algorithmic trading with Markov-switchingPalabras claves:Active portfolio management, Algorithmic trading, behavioral finance, Equity trading, ETF, Informed traders, Markov-Switching GARCH, Mutual funds, Noisy traders, S&P 500Autores:Aguilasocho-Montoya D., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusThe benefits for European companies and investors of promoting happiness through high-performing work policies
ArticleAbstract: Purpose: In this paper, the authors tested if promoting the workforce's happiness (through high perfPalabras claves:Company performance, High-performing working practices, profitability, Stock price performance, Workforce happiness, Workforce well-beingAutores:Del Río‐Rama M.d.l.C., José Álvarez-García, la Torre-Torres O.D., Martínez Torre-Enciso M.I.Fuentes:scopusThe cost of homogeneity in life cycle pension funds: An explanation to demand's inelasticity of Mexican pension funds with a performance attribution test
ArticleAbstract: In the present paper we study the lack of alpha generation in the main defined contribution pensionPalabras claves:Alpha generation, COMPETITIVENESS, Informed decision, Life cycle investment., Pension funds, Portfolio selection, Simulation modelingAutores:Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopus