El objetivo de esta investigación es estudiar las relaciones largo plazo entre la política monetaria, el tipo cambio y premio al riesgo en economía mexicana. Mediante metodología series tiempo, modelos ARFIMA ARFIMAX, con datos diarios mayo, 2003 a octubre, 2018. Los resultados señalan que decisiones tomadas por Banco Central través su mecanismo transmisión (tasa interés) bajo un inflación cont...

In this paper, we examine for long memory dynamics in the daily and weekly exchange rates of six Asia Pacific countries: Australia, Japan, New Zealand, Singapore, South Korea and Taiwan. Three semiparametric frequency domain estimators and the exact maximum likelihood estimator are used. Estimation results reveal strong evidence of long memory in the weekly exchange rate series for all six coun...

This research investigates the role of high-frequency data in volatility forecasting China stock market by particularly feeding different frequency return series directly into a large number GARCH versions. The contributions this are as follows. 1) We provide clear evidence to support that superiority traditional time models remains taking advantage data. 2) incorporate distribution assumptions...

This paper considers the time series properties of the aggregate price level which is well known as one of the most important variables in explaining the macroeconomy. Many studies have been devoted to investigate how aggregate prices respond to shocks. Nelson and Schwert (1977), Barsky (1987), and Ball and Cecchetti (1990) find that inflation contains a unit root. Hassler and Wolters (1995) an...