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dc.contributor.authorRojas, Omar
dc.coverage.spatialMéxico
dc.creatorOMAR GUILLERMO ROJAS ALTAMIRANO;344229
dc.date.accessioned2018-03-12T22:50:06Z
dc.date.available2018-03-12T22:50:06Z
dc.date.issued2017
dc.identifier.citationRojas Altamirano, O.G. (2017). A Bayesian approach to model changes in volatility in the Mexican stock exchange index. Applied Economics, 50 (15), 1716-1724. doi: 10.1080/00036846.2017.1374536es_ES, en_US
dc.identifier.issn0003-6846es_ES, en_US
dc.identifier.otherCampus Guadalajaraes_ES, en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12552/4513
dc.identifier.urihttp://dx.doi.org/10.1080/00036846.2017.1374536
dc.description.abstractWe model the changes in volatility in the Mexican Stock Exchange Index using a Bayesian approach. We study the time series with a wide set of models characterized by a Markov switching heterogeneity. The advantage of this approach is that it allows for a broader spectrum of possible models since the estimation of the moments of the parameters is done using the finite mixture distribution MCMC method, without relying on assumptions about large sampling and mathematical optimization. This is particularly relevant for emerging markets’ financial data because of its special characteristics, like being more susceptible to jumps and changes in volatility caused by exchange rate swings, financial crises and oil and commodity prices. For model comparison, we use the marginal likelihood approach and the bridge sampling technique. The best representation of the data is given by a switching model with three states rather than any other autoregressive linear or non-linear model. The periods of volatility found by the model coincide with different financial crisis. Whereas other studies of volatility for the same market impose the Markovian model that captures changes in volatility, we let our model to be defined in an endogenous way. © 2017 Informa UK Limited, trading as Taylor & Francis Group.es_ES, en_US
dc.description.statementofresponsibilityInvestigadoreses_ES, en_US
dc.description.statementofresponsibilityEstudianteses_ES, en_US
dc.description.statementofresponsibilityMaestroses_ES, en_US
dc.description.tableofcontentsCiencias Económicas y Empresarialeses_ES, en_US
dc.publisherTaylor & Francis
dc.relationVersión aceptadaes_ES, en_US
dc.relation.ispartofREPOSITORIO SCRIPTAes_ES, en_US
dc.relation.ispartofREPOSITORIO NACIONAL CONACYTes_ES, en_US
dc.relation.ispartofOPEN AIREes_ES, en_US
dc.rightsAcceso Embargadoes_ES, en_US
dc.rights.urihttp://creativecommons.org/about/cc0/es_ES, en_US
dc.rights.urihttp://www.sherpa.ac.uk/romeo/search.php?id=1140&la=es&fIDnum=|&mode=advanced&format=full
dc.sourceApplied Economics
dc.subjectBayesian analysises_ES, en_US
dc.subjectExchange ratesen
dc.subjectHeterogeneityen
dc.subjectMarkov chainen
dc.subjectNumerical modelen
dc.subjectStock marketen
dc.subjectTime series analysisen
dc.subject.classificationCIENCIAS SOCIALESes_ES, en_US
dc.titleA Bayesian approach to model changes in volatility in the mexican stock exchange indexes_ES, en_US
dc.typeArtículoes_ES, en_US


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