In this paper we study a possible synchronization in volatility changes for some Latin America's stock exchange indexes. We also add the S&P 500 index to the analysis. We suggest a heterogeneity Markov switching model to capture changes in volatilities over time.To solve the problem of uncertainty in modeling each index, we suggest the Bayes Factor to identify the best Markov switching specification as the number of states, if any. We found that, all the daily growth rates for each index are well characterized by low, medium and high volatilities in different periods of time. We suggest some measures of synchronization based on the concordance by the changes in volatilities between the indexes. We show that, the Mexican, Chilean and the S&P 500 indexes are closer to each other than the rest
This research is aimed at finding closed-form solutions of the utility maximization problem that solves an infinitely-lived rational consumer when the risky asset is driven by a time-inhomogeneous Markov modulated diffusion process. We provide analytical solutions for two specific cases: transition probabilities with tendency and transition probabilities with no tendency and no periodicity.
An efficient market is one where prices of traded securities reflect all available information and adjust fully and quickly to new information. When one market is efficient changes in stock prices are unpredictable and therefore behave as a random walk.Our aim to test the efficiency of the international metals market by analyzing their behavior in the London Metal Exchange or LME for its acronym in English, and PLATTS developed by Mc Graw Hill Company. Both indicators are the primary benchmark to determine the base price for metal parts (aluminum) in the automotive industry.To do this, we take a monthly publication from January 2009 until August 2013, of the metal prices reported in PLATTS and LME. Various statistical tests were applied to determine the stationarity of the sample generated, such as the Autocorrelation Function, the Ljung-Box Test, the Unit Root Test, the Dickey-Fuller Test and the Augmented Dickey-Fuller Test. We concluded that the analyzed series are non-stationary for the case studied, showing a strong statistical evidence that, the international market of the aluminum is efficient and follows a random walk.
The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case.
Real exchange rate overvaluation can induce default. In a currency area formed by two countries, we prove that if prices differ even slightly then inflations will diverge persistently and monetary policy will be unable to suit all currency area members. In fact, it will affect area members inversely. We show that risk premia are time-varying and determined by real exchange rate overvaluation. Finally, we find a transmission mechanism from the overvaluation of the real exchange rate of a currency area member to his default.
Abstract:The Supply Chain (SC) describes the succession of suppliers, manufacturers, storage facilities, distributors and customers that allow products to be ordered, produced and delivered. Supply-Chain Management (SCM) is another aspect of Advanced Planning and Scheduling. It administers the flow of supplies, logistics, services and information through the supply-chain, from suppliers, manufacturers, sub-contractors, stores and distributors to customers and end-users. It involves business strategy, information flow and systems compatibility. Manufacturing is the activity consisting in to make a good with tools and/or machines by effecting chemical, mechanical, or physical transformation of materials, substances, or components, or by simulating natural processes, usually repeatedly and on a large scale with a division of labor. Due to the economic and strategic importance of knowing in advance the client's needs to develop the master production planning, we propose in this paper a mathematical model to link the activities of the supply chain with the development of the master plan of production using a mixed integer linear programming model with a stochastic approach. In our proposal we include a set of constrains tha represents the real necessities of the customers in markets of high density.
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