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Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano


  • Semei Coronado Ramirez

    () (Universidad de Guadalajara)

  • Gerardo Leonardo Gatica Arreola

    (Universidad de Guadalajara)


In this paper we apply a frequency-dominant test of time reversibility, the REVERSE test based on the bispectrum, to explore the high-order spectrum properties of the Mexican exchange rate reversible process. The results show that the series is time irreversible and therefore it does not comply with the property of i.i.d. The result implies that this kind of series cannot be analyzed with GARCH models, since these could drive to wrong economic policies

Suggested Citation

  • Semei Coronado Ramirez & Gerardo Leonardo Gatica Arreola, 2013. "Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 10(1), pages 77-89, Enero-Jun.
  • Handle: RePEc:qua:journl:v:10:y:2013:i:1:p:77-89

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    Irreversibilidad temporal; biespectro; asimetría; tipo de cambio mexicano.;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange


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