UN MODELO DE PRONÓSTICO DE CONTAGIO

Authors

  • Claudia I. Martínez García Escuela Superior de Economía, Instituto Politécnico Nacional
  • Adrián Hernández-del-Valle Escuela Superior de Economía, Instituto Politécnico Nacional
  • Héctor Allier Campuzano Escuela Superior de Economía, Instituto Politécnico Nacional

DOI:

https://doi.org/10.21919/remef.v3i3.170

Keywords:

Contagio, Vectores Autorregresivos, Pronóstico

Abstract

We build an autorregresive vectors model to forecast the volatility of the Índice de Precios y Cotizaciones of the Mexican Stock Exchange as a function of other market portfolios, and we test its ex-ante predictive power in the period January 1997-December 1998. One of the most surprising results is that our model would have been able to forecast the two contagion effects that ocurred in this time· interval: The Dragon Effect and the Vodka Effect.

Downloads

How to Cite

Martínez García, C. I., Hernández-del-Valle, A., & Allier Campuzano, H. (2017). UN MODELO DE PRONÓSTICO DE CONTAGIO. Revista Mexicana De Economía Y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 3(3). https://doi.org/10.21919/remef.v3i3.170

Issue

Vol. 3 No. 3: Septiembre

Section

Artículos