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Medicion del riesgo de la cola en el mercado del petroleo mexicano aplicando la teoria de valores extremos condicional

Listed author(s):
  • Raul De Jesus Gutierrez

    ()

    (Universidad Autonoma del Estado de Mexico.)

  • Edgar Ortiz Calisto
  • Oswaldo Garcia Salgado
  • Veronica Angeles Morales
Registered author(s):

    Este trabajo aplica la teoria de valores extremos a la distribucion condicional de los residuales estandarizados de especificaciones GARCH, EGARCH y TGARCH, y construye medidas de riesgo dinamicas para la estimacion del VaR y expected shortfall de las posiciones larga y corta de la mezcla de petroleo mexicana del 4 de enero de 1989 al 31 de diciembre de 2013. Los resultados del proceso de validacion evidencian que los modelos basados en la teoria de valores extremos condicional y simulacion historico-filtrado proporcionan estimaciones mas precisas del VaR condicional en cualquier nivel de confianza, aunque su desempeño se reduce significativamente en la prediccion del expected shortfall condicional. En niveles de confianza del 99.5% y 99.9%, los hallazgos empiricos muestran que el gobierno esta propenso a experimentar un mayor riesgo que los consumidores de petroleo mexicano en el mercado internacional, porque la cola inferior de la distribucion empirica es mas estable y ancha que la cola superior.

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    File URL: http://www.revistascientificas.udg.mx/index.php/EQ/article/view/6022/5472
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    Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

    Volume (Year): 13 (2016)
    Issue (Month): 2 (Julio-Diciembre)
    Pages: 77-98

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    Handle: RePEc:qua:journl:v:13y:2016:i:2:p:77-98
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    Phone: 636 6270
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    Web page: http://econoquantum.cucea.udg.mx

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