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Problemas de asimetria para el analisis y la predictibilidad del tipo de cambio mexicano

Semei Coronado Ramirez () and Gerardo Leonardo Gatica Arreola
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Semei Coronado Ramirez: Universidad de Guadalajara
Gerardo Leonardo Gatica Arreola: Universidad de Guadalajara

EconoQuantum, Revista de Economia y Negocios, 2013, vol. 10, issue 1, pages 77-89

Abstract: In this paper we apply a frequency-dominant test of time reversibility, the REVERSE test based on the bispectrum, to explore the high-order spectrum properties of the Mexican exchange rate reversible process. The results show that the series is time irreversible and therefore it does not comply with the property of i.i.d. The result implies that this kind of series cannot be analyzed with GARCH models, since these could drive to wrong economic policies

Keywords: Irreversibilidad temporal; biespectro; asimetría; tipo de cambio mexicano. (search for similar items in EconPapers)
JEL-codes: C12 C32 F31 (search for similar items in EconPapers)
Date: 2013
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