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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: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: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