Estudios gerenciales Vol. 29 No. 126

URI permanente para esta colecciónhttp://hdl.handle.net/10906/69544

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Caso de estudio. El problema de la consultoría está en la t
(Universidad Icesi, 2013-01-01) Alonso Cifuentes, Julio César; Gallo, Beatriz Eugenia
This case of study aims to strengthen the ability of the reader to systematically solve issues that involve using econometric tools. We focus on the linear regression model. The problem is about the estimation of a demand curve, which leads to hypothesis testing for a linear regression model. The discussion deals with a problem that seems to be taken for granted, and it also mentions the importance of considering theoretical implications when using one- and two-tailed tests.
Valor en riesgo : evaluación del desempeño de diferentes metodologías para 5 países latinoamericanos
(Universidad Icesi, 2013-01-01) Alonso Cifuentes, Julio César; Chaves, Juan Manuel
This paper evaluates the performance of 20 different methods (parametric, and semi-parametric, and nonparametric), as well as the historical simulation method, to estimate the next-trading-day value-at risk (VaR) of a representative portfolio for 5 different Latin American countries (Argentina, Brasil, Colombia and Peru). We found that the non-parametric (i.e. historic simulation), and the semi-parametric methods were the best way to estimate the risk among the twenty different methods evaluated for all the countries in the sample.