IDEAS home Printed from https://ideas.repec.org/a/qua/journl/v10y2013i1p77-89.html
   My bibliography  Save this article

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

Author

Listed:
  • Semei Coronado Ramirez

    () (Universidad de Guadalajara)

  • Gerardo Leonardo Gatica Arreola

    (Universidad de Guadalajara)

Abstract

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
    as

    Download full text from publisher

    File URL: http://www.revistascientificas.udg.mx/index.php/EQ/article/view/158/193
    Download Restriction: no

    File URL: http://www.revistascientificas.udg.mx/index.php/EQ/index
    Download Restriction: no

    More about this item

    Keywords

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: http://edirc.repec.org/data/dmudgmx.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.