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You searched for +publisher:"Universidad del Rosario" +contributor:("Castro Iragorri, Carlos Alberto"). Showing records 1 – 2 of 2 total matches.

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Universidad del Rosario

1. Rodriguez Revilla, Cristhian Andres. Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis.

Degree: 2016, Universidad del Rosario

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Universidad del Rosario

Advisors/Committee Members: Castro Iragorri, Carlos Alberto.

Subjects/Keywords: Term structure; Out-of-sample forecasting; Nelson-Siegel model; Linear regression; Affine models; Kalman Filter; Root Mean; Squared Error; 332; Finanzas; Negociaciones internacionales; Economía internacional

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Rodriguez Revilla, C. A. (2016). Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis. (Thesis). Universidad del Rosario. Retrieved from http://repository.urosario.edu.co/handle/10336/11956

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Rodriguez Revilla, Cristhian Andres. “Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis.” 2016. Thesis, Universidad del Rosario. Accessed December 15, 2019. http://repository.urosario.edu.co/handle/10336/11956.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Rodriguez Revilla, Cristhian Andres. “Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis.” 2016. Web. 15 Dec 2019.

Vancouver:

Rodriguez Revilla CA. Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis. [Internet] [Thesis]. Universidad del Rosario; 2016. [cited 2019 Dec 15]. Available from: http://repository.urosario.edu.co/handle/10336/11956.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Rodriguez Revilla CA. Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis. [Thesis]. Universidad del Rosario; 2016. Available from: http://repository.urosario.edu.co/handle/10336/11956

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Universidad del Rosario

2. Ordóñez Herrera, Juan Sebastián. De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial.

Degree: 2014, Universidad del Rosario

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

The crisis that erupted in the mortgage market in the United States in 2008 and managed to spread throughout the financial system, demonstrated the level of interconnection that exists between public sector entities and their relationships with the productive sector, leaving highlighted the need to identify and characterize the systemic risk inherent in the system, so that in this way regulators seek both individual as overall system stability. This paper shows, through a model that combines the power of information networks and their suitability for an auto regressive (panel type) spatial model, the importance of incorporating the micro-prudential (proposed Basel II) approach, a variable that captures the effect of being connected with others and making a macro-prudential analysis (proposed Basel III).

Advisors/Committee Members: Castro Iragorri, Carlos Alberto.

Subjects/Keywords: Econometría Espacial; Externalidad de red; Micro-Prudencial; Macro-Prudencial; Riesgo Sistémico; 330.015195; Econometría; Banca; Microeconomía; Macroeconomía; Spatial Econometrics; Network Externality; Micro-Prudential; Macro-Prudential; Systemic Risk

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ordóñez Herrera, J. S. (2014). De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial. (Thesis). Universidad del Rosario. Retrieved from http://repository.urosario.edu.co/handle/10336/8346

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ordóñez Herrera, Juan Sebastián. “De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial.” 2014. Thesis, Universidad del Rosario. Accessed December 15, 2019. http://repository.urosario.edu.co/handle/10336/8346.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ordóñez Herrera, Juan Sebastián. “De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial.” 2014. Web. 15 Dec 2019.

Vancouver:

Ordóñez Herrera JS. De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial. [Internet] [Thesis]. Universidad del Rosario; 2014. [cited 2019 Dec 15]. Available from: http://repository.urosario.edu.co/handle/10336/8346.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ordóñez Herrera JS. De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial. [Thesis]. Universidad del Rosario; 2014. Available from: http://repository.urosario.edu.co/handle/10336/8346

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.