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Caracterización Paramétrica de los Rendimientos de los Precios del Petróleo 2010-2015

Author

Listed:
  • Mota-Aragón, Martha Beatriz

    (Universidad Autónoma Metropolitana)

  • Mata-Mata, Leovardo

    (Universidad Autónoma Metropolitana)

Abstract

En este trabajo se caracterizan los rendimientos de los precios del petróleo Brent, West Texas Intermediate y la mezcla mexicana de exportación mediante los parámetros de una distribución de probabilidad no normal. Se revisa el periodo 2010-2015 en dos ventanas de tiempo: precios de crudo bajos y precios de crudo altos. Se encuentra evidencia de un ajuste adecuado de la distribución hiperbólica generalizada para ambos subperiodos y, por, ende se puede analizar el comportamiento poblacional de los rendimientos mediante cambios en los parámetros de la distribución de probabilidad. / In this paper yields oil prices Brent, West Texas Intermediate and Mexican export mix are characterized by the parameters of a no-normal probability distribution. The period 2010-2015 is reviewed in two time windows: low oil prices and high crude prices. It is found evidence of an appropriate adjustment of the generalized hyperbolic distribution for both subperiods. Therefore can analyze the behavior of yields through changes in the parameters of the cumulative distribution.

Suggested Citation

  • Mota-Aragón, Martha Beatriz & Mata-Mata, Leovardo, 2016. "Caracterización Paramétrica de los Rendimientos de los Precios del Petróleo 2010-2015," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 63-74, primer se.
    • Handle: RePEc:ipn:panora:v:xi:y:2016:i:22:p:63-74
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    More about this item

    Keywords

    precios del petróleo; distribución hiperbólica generalizada; máxima verosimilitud; intervalo de confianza. / oil prices; generalized hyperbolic distribution; maximum likelihood; confidence interval.;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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