Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Oscar V. de la Torre-Torres"'
Publikováno v:
Agriculture, Vol 14, Iss 10, p 1692 (2024)
The present paper tests the use of an agricultural futures minimum tracking error portfolio to replicate the price of the Mexican Hass avocado (a non-commodity). The motivation is that this portfolio could be used to balance the basis risk that the a
Externí odkaz:
https://doaj.org/article/cd2f5fda368640f9b6cfc1d35ffa1867
Publikováno v:
Mathematics, Vol 12, Iss 3, p 485 (2024)
This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances in random-length lumber futures trading. By assuming a two-regime cont
Externí odkaz:
https://doaj.org/article/c055d211501f4d84ab0176ed306ad57a
Autor:
María Guadalupe Cortés-Medina, Irma Cristina Espitia Moreno, Dalia García Orozco, Oscar V. de la Torre-Torres
Publikováno v:
Inquietud Empresarial, Vol 22, Iss 2 (2022)
Port logistics activity is a vital element in foreign trade. In a globalized environment that demands greater competitiveness, trade agreements and synergies between trade blocs through maritime transport allow commercial development between economie
Externí odkaz:
https://doaj.org/article/fa5f1fe2cf664bd5b3d1ef0bc66d8ccf
Autor:
Benjamín Vallejo-Jiménez, Francisco Venegas-Martínez, Oscar V. De la Torre-Torres, José Álvarez-García
Publikováno v:
Mathematics, Vol 10, Iss 16, p 2926 (2022)
This paper aims to simulate portfolio decisions under uncertainty when the diffusion parameters of the risky asset and short rate paid for a bond are both modulated by a time-inhomogeneous Markov chain, with transition probabilities dependent on stat
Externí odkaz:
https://doaj.org/article/b40d876e340241c784b3606bb5479a7a
Autor:
Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, María de la Cruz Del Río-Rama, José Álvarez-García
Publikováno v:
Mathematics, Vol 10, Iss 8, p 1296 (2022)
In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views of the 26 most traded stocks in the US in a Black–Litterman (B–L) optimal selection context. With weekly historical data of these stocks from 1 Janu
Externí odkaz:
https://doaj.org/article/8b4cef0eee6d45b19bc23d585211639c
Publikováno v:
Symmetry, Vol 13, Iss 12, p 2346 (2021)
In the present paper, we extend the current literature in algorithmic trading with Markov-switching models with generalized autoregressive conditional heteroskedastic (MS-GARCH) models. We performed this by using asymmetric log-likelihood functions (
Externí odkaz:
https://doaj.org/article/f763612ac9b24c8b8724febc31007d38
Publikováno v:
Mathematics, Vol 9, Iss 9, p 1030 (2021)
In the present paper, we test the benefit of using Markov-Switching models and volatility futures diversification in a Euro-based stock portfolio. With weekly data of the Eurostoxx 50 (ESTOXX50) stock index, we forecasted the smoothed regime-specific
Externí odkaz:
https://doaj.org/article/9ef0dda166c5439ba250f5e2afc4c347
Publikováno v:
Mathematics, Vol 9, Iss 2, p 185 (2021)
In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the
Externí odkaz:
https://doaj.org/article/a175fde4a6ba485a841edd5ac948982f
Publikováno v:
Mathematics, Vol 8, Iss 6, p 1001 (2020)
In the present paper we tested the use of Markov-switching Generalized AutoRegressive Conditional Heteroscedasticity (MS-GARCH) models and their not generalized (MS-ARCH) version. This, for active trading decisions in the coffee, cocoa, and sugar fut
Externí odkaz:
https://doaj.org/article/084558ecd42548cd8560a34bf3a17993
Publikováno v:
Mathematics, Vol 8, Iss 6, p 942 (2020)
In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These show the quantitative model of an active stock trading algorithm in the three main Latin-
Externí odkaz:
https://doaj.org/article/103bdf18432e44f48e3a552bb80aece2