Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano
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
Volume (Year): 10 (2013)
Issue (Month): 1 (Enero-Junio)
|Contact details of provider:|| Postal: 636 6270|
Phone: 636 6270
Fax: 633 6975
Web page: http://econoquantum.cucea.udg.mx
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:qua:journl:v:10:y:2013:i:1:p:77-89. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sandra Ivett Portugal Padilla)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.