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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:scopusAnalysing the influence of foreign direct investment and urbanization on the development of private financial system and its ecological footprint
ArticleAbstract: In this research, the objective is to examine how private financial development, urbanization and foPalabras claves:ecological footprint, Financial development, Foreign investment, Panel data estimation, UrbanizationAutores:Irfan M., José Álvarez-García, Pablo Ponce, Viviana ÁlvarezFuentes: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: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: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: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:scopusSpanish Journal of Finance and Accounting (SJFA): Mapping of Knowledge over the Last 25 Years
ArticleAbstract: The Spanish Journal of Finance and Accounting (SJFA) is a leading international journal in the fieldPalabras claves:accounting, Bibliometrics, Citation analysis, Finance, SCOPUS, Spanish Journal of Finance and AccountingAutores:Del Río‐Rama M.d.l.C., Durán‐sánchez A., José Álvarez-García, Nestor Montalvan-BurbanoFuentes: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:scopus