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Evaluación de pronósticos del tipo de cambio utilizando

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Author Info
Munir A. Jalil. B ()
Martha Misas ()

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Abstract

El presente trabajo compara especificaciones lineales y no lineales (expresadas en redes neuronales artificiales) ajustadas a la variación porcentual diaria del tipo de cambio utilizando para ello funciones de costo tradicionales (simétricas) a la vez que se introduce el análisis asimétrico. Los resultados muestran que las redes neuronales permiten obtener mejores pronósticos con ambos tipos de funciones de costos. Sin embargo, es de anotar que cuando se evalúan los pronósticos con funciones asimétricas, el modelo no lineal supera ampliamente a su contraparte lineal.

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Publisher Info
Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002636.

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Length: 32
Date of creation: 28 Feb 2006
Date of revision:
Handle: RePEc:col:000094:002636

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  1. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal: aplicación al caso de la inflación en Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 65, pages 73-116, Julio-Dic. [Downloadable!]
  2. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia. [Downloadable!]
  3. Juan Camilo Santana, 2006. "Predicción de series temporales con redes neuronales: una aplicación a la inflación colombiana," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
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This page was last updated on 2009-12-1.

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