Examinando por Materia "Contratos forward"
Mostrando 1 - 4 de 4
Resultados por página
Opciones de ordenación
Publicación Desarrollo y comparación de modelos ARIMA-GARCH y SARIMA-GARCH para la estimación del tipo de cambio USD/COP y propuesta de coberturas cambiarias con derivados forward para empresa importadora de autopartes en Colombia(Universidad EAFIT, 2025) Caballero Rosas, Daniel; Molina Sierra, Luis FelipeThis research analyzed the estimation of the USD/COP exchange rate through the development and comparison of ARIMA-GARCH and SARIMA-GARCH models to design hedging strategies. Historical data from the Representative Market Rate (2019-2024) and optimization techniques in Python were used. Results indicated that SARIMA-GARCH provided higher predictive accuracy by capturing seasonal fluctuations and reducing errors compared to ARIMA-GARCH. Based on these forecasts, forward contract hedging strategies were proposed to mitigate exchange rate risk. However, market uncertainty and unexpected events may affect model accuracy, making recalibration every 60-90 days advisable. The combination of time series models with conditional heteroskedasticity proved essential in volatile markets, although its high computational demand can be a limitation. This study provides applicable tools for exchange rate risk management, optimizing financial decision making for importing companies.Ítem Energy power forward prices. Are forward prices rationally determined by agents in the Colombian market?(Universidad EAFIT, 17/06/2011) Gloria Stella Salazar Marín; Javier Pantoja; MSc. en Ingeniería Financiera, Universidad EAFIT. Vinculada a XM Expertos en Mercados; PhD. en Administración, HEC - EAFIT. Profesor de tiempo completo, Universidad EAFITÍtem Evidencia empírica en alta frecuencia de la prima de riesgo forward para los mercados de energía eléctrica en Colombia(Universidad EAFIT, 2009) Salazar Marín, Gloria Stella; Pantoja Robayo, Javier OrlandoSupported on empirical analysis and using a high-frequency data set of hourly spot and forward prices from wholesale power market in Colombia, this paper finds that there are significant risk premia in electricity forward prices, showing how their properties and behavior are also explained by the differences among market segments and regulation -- These premia vary depending on the market segment, showing that median risk premium is positive for most of the hours for two segments and negative for another -- On the other hand, it presents evidence about the structural changes in the wholesale market, due to that this market is in a consolidation process and so, it is highly sensitive to the regulation changes, which generated special conditions that impacted the market’s behavior and the agent’s risk toleranceÍtem Los precios forward sobre electricidad. ¿Determinados racionalmente por los agentes del mercado colombiano?(Universidad Autónoma del Estado de México, 2012) Salazar Marín, Gloria Stella; Pantoja, Javier; XM Expertos en Mercados; Profesor de tiempo completo, Universidad EAFIT, Medellín Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca