Mostrando 10 resultados de: 14
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)
Objetivos de Desarrollo Sostenible
ODS 8: Trabajo decente y crecimiento económico(14)
ODS 17: Alianzas para lograr los objetivos(10)
ODS 9: Industria, innovación e infraestructura(7)
ODS 10: Reducción de las desigualdades(5)
ODS 12: Producción y consumo responsables(3)
Origen
scopus(14)
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