Economía - Seriadas
URI permanente para esta colecciónhttp://hdl.handle.net/10906/2349
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Examinando Economía - Seriadas por Materia "Business"
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Ítem Efecto del ciclo de efectivo sobre la rentabilidad de las firmas colombianas(Universidad Icesi, 2006-12-01) Arcos Mora, Mauricio AlejandroThis document analyzes the relation between the efficiency of working capital management and corporate profitability for the period of 2001 through 2004. Using a regression framework, we find a strong negative relation between the number of day the company has to finance its working capital and its profitability. Thus, this paper supports the argument that shorter trade cycles would be accompanied by higher profitability levels.Ítem Patrones del IGBC y Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para datos intra-día(Universidad Icesi, 2009-09-01) Alonso Cifuentes, Julio CésarThis paper evaluate the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the return using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. These exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.Ítem ¿Qué tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación con datos de alta frecuencia. Financial market and its patterns: a forecast evaluation with high frequency data(Universidad Icesi, 2008-03-01) Alonso Cifuentes, Julio CésarUsing 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts for each of the 18 models. Using different descriptive statistics and the Granger and Newbold (1976) test and the Diebold and Mariano (1995) test, we found that the best model would be the GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect.Ítem Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos(Universidad Icesi, 2006-08-01) Alonso Cifuentes, Julio CésarThis paper evaluates the performance of different parametric and semiparametric methods, as well as the historical simulation method, to estimate the nexttrading- day VaR of 7 representative portfolios for 7 different Latin American countries. It is found that there is not a single model that outperforms the others. For a 95% confident level, parametric models with EWMA and TGARCH specification to update the volatility outperforms the others. On the other hand, those models over-estimate the “true” VaR for a 99% confidence level.