Examinando por Materia "MERCADO DE CAPITALES - ESTADOS UNIDOS"

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    Asset Pricing using a Network Approach
    (Universidad EAFIT, 2019) Isaza Cadavid, Juan Esteban; Restrepo Tobón, Diego Alexander; Pulido Tamayo, Sergio
    This paper approaches the U.S. stock market as a network and explains stocks’ returns by taking into account community formation among securities and its centrality inside the network. This approach differs from the ones previously reported in that it analyzes complex systems of connected assets and considers characteristics generally ignored in financial markets.
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    Persistencia y eventos en el riesgo de crédito soberano de Estados Unidos : un enfoque fundamental y de aprendizaje automático aplicado a los CDS a 5 y 10 años
    (Universidad EAFIT, 2025) González, María Alejandra; Sánchez Duque, Juan Manuel; Ruiz Montalvo, Diego Alejandro; Almonacid Hurtado, Paula María; Botero Ramírez, Juan Carlos
    The objective of this work is to analyze the dynamics of US sovereign credit risk, measured by 5- and 10-year Credit Default Swaps (CDS), using both fundamental and machine learning approaches. The short-term analysis, using ADL, GARCH-MIDAS, and T-GARCH models, revealed that volatility and macroeconomic uncertainty (VIX, 3-month Treasury rate) have a detectable but limited effect on CDS. In the long term, level models (AR(1) and ARDL) demonstrated that the most stable and dominant factor is the CDS’s own temporal persistence (with a significant autoregressive coefficient). Findings conclude that the evolution of sovereign risk is primarily determined by its historical inertia and strong autocorrelation, implying that traditional economic fundamentals play a secondary role in determining current risk levels.