CRIS

Permanent URI for this communityhttps://scripta.up.edu.mx/handle/20.500.12552/1

Browse

Search Results

Now showing 1 - 8 of 8

Some of the metrics are blocked by your
consent settings
The mahalanobis distance between the hurst coefficient and the Alpha-Stable parameter: An early warning indicator of crises
(Academic Publications, 2016)
;
Cruz-Aké, Salvador
;
Venegas-Martínez, Francisco
The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case. © 2010, Academic Publications, Ltd.; https://ijpam.eu ©The authors.
10
Some of the metrics are blocked by your
consent settings
Modeling the Optimal Supply Chain of Liquefied Natural Gas as Fuel in Fishing Vessels in Mexico
(2022)
Hernández-Palomo, Giovanna
;
;
Venegas-Martínez, Francisco
The global energy transition process has generated a set of modifications in the generation and consumption of energy. Environmental objectives have gained great relevance for regions, countries and companies. The fishing sector has been identified as having a broad environmental impact, which is why the transition to cleaner energy sources in this sector has been considered. One of the proposed strategies is based on the transition from the diesel engines of the ships to the use of liquefied natural gas (LNG), however, this transition requires guaranteeing the supply of fuel as well as the process of reconversion of units in operation and the impulse of LNG gas engines for new units. This work presents a proposal for the design of an LNG gas supply chain for the fishing industry in the State of Tampico in Mexico that allows evaluating the feasibility of the transition from the use of diesel to natural gas in fishing vessels. The main results show the feasibility of the transition in the fuel supply and economic and environmental benefits for the fishing industry. However, there is a significant challenge in converting units in operation to the use of natural gas due to the lack of public policies that promote and support its use in this sector. © Mobile Networks and Applications
14 2
Some of the metrics are blocked by your
consent settings
Assessing the interdependence among renewable and non-renewable energies, economic growth, and CO2 emissions in Mexico
(2021)
Venegas-Martínez, Francisco
;
This paper is aimed at examining the short- and long-run relationships among consumption of renewable and non-renewable energies, economic growth, and CO2 emissions in Mexico during the period 1973–2018. Data were obtained from the World Bank and the British Oil Company BP. A cointegration model together with a fully modified ordinary least squares (FMOLS) is used to estimate possible associations among all variables. Subsequently, the Granger causality test is applied to empirically verify the environmental Kuznets curve (EKC) hypothesis. The main empirical results are that the variables under study explain CO2 emissions in the short and long run, with economic growth having the greatest influence on CO2 emissions, which provides empirical evidence of an EKC for Mexico. Moreover, consumption of renewable and non-renewable energies and economic growth causes in the Granger sense the current levels of CO2 emissions. Moreover, lagged GDP and lagged non-renewable energy consumption do influence (Granger cause) current CO2 emissions. Long-term policies should encourage the use of renewable energies in the electricity, transport, manufacture, and construction sectors.
Scopus© Citations 31 46 1
Some of the metrics are blocked by your
consent settings
Competition between agricultural foods and biofuels: Referees' response to "The nonlinear relation between biofuels and food prices"
(2017)
Venegas-Martínez, Francisco
;
The nonlinear relation between biofuels and food prices", written by Cruz Aké (2017), several issues were left out by the author: 1) a comparison of the paper's results with traditional non-linear econometric analysis, as Markov switching regime models; 2) a comparative analysis of the long-run relationship between biofuels (bioethanol and biodiesel) consumption and its demand determinants, namely, competitive goods, their prices, world's GDP (economic activity) and climate phenomena, and 3) an explanation for the volatility regarding non-linearities in the biofuels consumption and its determinants. Under this framework to complement Cruz Aké's (2017) work, we perform a traditional cointegration analysis to assess the impact of the long-run components of the biofuel demand. We find a significative statistical consistency in the three cointegration equations from a six-equation system. Moreover, we find two volatility regimes of the biofuel consumption, wich is also consistent with the empirical evidence from Cruz Aké's (2017) paper. Although Cruz Aké (2017) contributes to the current discussion on the subject matter, it remains to consider, more carefully, other essential issues that invitied us to a deeper academic debate: 1) the distribution of innovations that drives the biofuel consumption and its price may not be Student's t nor a Generalize Extreme Value (GEV) distribution; 2) the stochastic process that guides the biofuels consumption and its price may not be stable over time, and 3) the cointegration analysis may be done by assuming fractional cointegration. Finally, it is worth noticing that Cruz Aké's (2017) paper may be extended in different ways such as: 1) the long-run sustainability of the biofuels consumption; 2) the effect of the agricultural foods and fuel prices volatilities on the economic welfare, and 3) the effect of changes in agricultural foods and energy prices on poor people. Needless to say, all the above stated points encourage to a wider and deeper debate.
39 2
Some of the metrics are blocked by your
consent settings
Impact of exchange rate derivatives on stocks in emerging markets
(2020)
Bernal-Ponce, L. Arturo
;
Castillo Ramírez, Claudia Estrella
;
Venegas-Martínez, Francisco
This paper investigates the effect of derivatives on the relationship between the foreign exchange rate and the stock market. A theoretical model is used to extend the understanding of that relationship. Also, the model is tested with an empirical analysis using the GMM strategy for the Mexican and Brazilian stock markets for the period 2007 to 2019. Findings reveal that in addition to the spot exchange rate, exchange rate futures explain the currency exposure, wherein the derivative effect is the most prominent. The result implies that both risk sources should be considered in the implementation of risk management or macroeconomic policy. The theoretical results are extended by applying them to international portfolio management, proposing a strategy to mitigate foreign exchange exposure with derivatives. This study contributes to the literature by explaining why the minimum variance hedge ratio plays an essential role in the foreign exchange rate and stock market nexus. © 2020 The Author(s). Published by VGTU Press.
Scopus© Citations 6 12 2
Some of the metrics are blocked by your
consent settings
Optimal consumption decisions of family networks with similar felicity functions
(2019)
Palafox-Roca, Alfredo Omar
;
;
Castillo Ramírez, Claudia Estrella
;
Venegas-Martínez, Francisco
Family networks have increased at an accelerated pace through social networking through social networking services, online platforms, and social media clubs. This paper develops a model of an economy populated by networks of families with similar preferences (the same functional form of the felicity or utility function) but family members differ in their deep parameters (compulsion for consumption and risk tolerance), which, in turn, leads to some kind o heterogeneity among the families. In this context, the problem of felicity (utility) maximization of the average family in the network is solved. The optimal path of consumption is obtained for the average family and graphical comparative static exercises are performed. Finally, the economic welfare of the typical family in a network is calculated and comparative static experiments are carried out. This approach improves the understanding of the consumption decision making of families interacting in social networking services. © 2019, Springer Science+Business Media, LLC, part of Springer Nature.
Scopus© Citations 1 15 1
Some of the metrics are blocked by your
consent settings
Impacto del uso de energía y formación bruta de capital en el crecimiento económico. Un análisis de datos de panel en 73 países agrupados por nivel de ingreso y producción de petróleo
(2018)
Venegas-Martínez, Francisco
Introduction: This paper examines the relationship between energy use (ENU) and gross capital formation (GCF) with the gross domestic product (GDP) growth rate in 73 countries. Countries are grouped according to the World Bank classification on income: high (30 countries), medium high (21 countries) and medium low (22 countries). Countries with a low income level are excluded due to insufficient data. The reason why the GCF is included is to study how it influences jointly with the ENU in the GDP growth since the GCF considers machinery and capital goods that require energy. Methods: Unit root and cointegration tests of panel data are performed, as well as estimates of fully modified ordinary least squares and dynamic ordinary least squares of data panel.
Scopus© Citations 6 11 2
Some of the metrics are blocked by your
consent settings
Euro exchange rate forecasting with differential neural networks with an extended tracking procedure
(2016)
;
Cabrera Llanos, Agustín Ignacio
;
Venegas-Martínez, Francisco
This paper develops a new kind of non-parametrical artificial neural network useful to forecast exchange rates. We departure from the Differential Neural Networks (DNN) framework and extend the tracking procedure. Under this approach, we examine daily closing exchange rates of Euro against US dollar, Japanese yen and British pound. With our proposal, extended DNN or EDNN, we perform the tracking procedure from February 15, 1999, to August 31, 2013, and, subsequently, the forecasting procedure from September 2 to September 13, 2013. The accuracy of the obtained results is remarkable, since the error percentage in the forecasting period varies from 0.001.
Scopus© Citations 1 34 2

CRIS

Browse

Filters

Settings

Sort By

Results per page

Search Results