Examinando por Materia "Lineal models (statistics)"

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    Análisis financiero de los determinantes de la tasa de cambio en Colombia: perspectiva desde la identificación de Sistemas lineales
    (Universidad EAFIT, 2018) Bedoya Londoño, José Miguel; Ávila Berrío, Sebastián; Quintero Montoya, Olga Lucía
    This paper presents a financial analysis of the variables that determines the exchange rate in Colombia (TRM) from The System Identification perspective, between September 1999 and March 2017 -- An exploration of the recent literature is made to identify the most important variables that affect the TRM´s behavior -- Through The System Identification process linear models are built to estimate and predict the TRM’s behavior and explore some of the most commonly used structures in financial econometrics models (ARX, ARMAX, Box Jenkins and Output Error) -- Finally, an analysis of the results obtained and a comparison of the constructed models are made, showing good results for a better understanding of this variable -- Additionally, an extra experiment is carried out in order to reduce the TRM’s uncertainty, using a classification of important events (news), given that the experience indicates these events are important to explain the TRM’s behavior, which are not possible to collect through time series analysis, establishing the basis for future work