Examinando por Materia "TIR (Tasa interna de retorno)"

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    Ítem
    Metodología para estimación de series de tiempo en bonos : observación de volatilidad en bonos de deuda pública colombianos (TES)
    (Universidad EAFIT, 2019) Montoya López, Andrés; Ocampo Marín, Daniel Alberto; Mora Cuartas, Andrés Mauricio; Almonacid Hurtado, Paula María
    The application of time series methodologies in bond prices turns out to be a complex process due to its mathematical and financial characteristics. In particular, the coupon payment and the modified duration effect makes prices (clean and dirty) unable to be used correctly in time series applications. Academic community has proposed many different methodologies that could be applied to reduce the bias when estimating volatility on bond prices. It’s necessary to evaluate advantages and disadvantages on each of them, and analyze the characteristics that must have the time series. The investigation aims to propose a new methodology to estimate a time series that allow the modeling of Colombian public debt bond prices, observing its implementation in the volatility estimation.