Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hernández Ángeles, Ignacio F. & Francisco-López Herrera & Luis Fernando Hoyos Reyes, 2015. "Análisis del efecto apalancamiento en los rendimientos del IPC mediante una Cadena de Markov Monte Carlo antes, durante y después de la crisis subprime./ Analysis of the leverage effect on the IPC ret," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(1), pages 43-64, enero-jun.
- McQueen, Grant & Thorley, Steven, 1991. "Are Stock Returns Predictable? A Test Using Markov Chains," Journal of Finance, American Finance Association, vol. 46(1), pages 239-263, March.
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliveira, Vasco, 2020.
"Ratings matter: Announcements in times of crisis and the dynamics of stock markets,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
- Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019. "Ratings matter: announcements in times of crisis and the dynamics of stock markets," Working Papers 2019-08, Joint Research Centre, European Commission.
- Malik, Madhur & Thomas, Lyn C., 2012. "Transition matrix models of consumer credit ratings," International Journal of Forecasting, Elsevier, vol. 28(1), pages 261-272.
- Ryan, Terence M., 1973. "Security Prices as Markov Processes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(1), pages 17-36, January.
- Dianfa Chen & Jun Deng & Jianfen Feng & Bin Zou, 2020. "A set-valued Markov chain approach to credit default," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 669-689, April.
- Masaaki Kijima, 1998. "Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 229-247, July.
- S. Baena‐Mirabete & P. Puig, 2018. "Parsimonious higher order Markov models for rating transitions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 181(1), pages 107-131, January.
- D. V. Boreiko & S. Y. Kaniovski & Y. M. Kaniovski & G. Ch. Pflug, 2019. "Identification of hidden Markov chains governing dependent credit-rating migrations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(1), pages 75-87, January.
- Hernández, Onésimo & Venegas, Francisco, 2012. "Toma de decisiones de agentes racionales con procesos markovianos. Avances recientes en economía y finanzas," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(316), pages 733-779, octubre-d.
- G. dos Reis & M. Pfeuffer & G. Smith, 2020. "Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations," Quantitative Finance, Taylor & Francis Journals, vol. 20(7), pages 1069-1083, July.
- Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018. "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers 1809.09889, arXiv.org, revised Feb 2020.
- Wozabal, David & Hochreiter, Ronald, 2012.
"A coupled Markov chain approach to credit risk modeling,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 403-415.
- David Wozabal & Ronald Hochreiter, 2009. "A Coupled Markov Chain Approach to Credit Risk Modeling," Papers 0911.3802, arXiv.org, revised Jan 2014.
- Puneet Pasricha & Dharmaraja Selvamuthu & Viswanathan Arunachalam, 2017. "Markov regenerative credit rating model," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 18(3), pages 311-325, May.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- David Conaly Martínez Vázquez & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2021. "Proyección Markoviana para 2020 y 2021 de las Calificaciones Corporativas en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-21, Enero - M.
- Tamás Kristóf, 2021. "Sovereign Default Forecasting in the Era of the COVID-19 Crisis," JRFM, MDPI, vol. 14(10), pages 1-24, October.
- Lapshin, Viktor & Anton, Markov, 2022. "MCMC-based credit rating aggregation algorithm to tackle data insufficiency," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 50-72.
- Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
- Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
- B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.
- Chiang, Raymond & Liu, Peter & Okunev, John, 1995. "Modelling mean reversion of asset prices towards their fundamental value," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1327-1340, November.
- Puneet Pasricha & Dharmaraja Selvamuthu & Guglielmo D’Amico & Raimondo Manca, 2020. "Portfolio optimization of credit risky bonds: a semi-Markov process approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-14, December.
- Reboredo, Juan C. & Rivera-Castro, Miguel A. & Miranda, José G.V. & García-Rubio, Raquel, 2013. "How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1631-1637.
- Flavio Ivo Riedlinger & João Nicolau, 2020. "The Profitability in the FTSE 100 Index: A New Markov Chain Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 61-81, March.
- Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
- Yang, Bill Huajian, 2022. "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper 114188, University Library of Munich, Germany, revised 18 Jul 2022.
- Chen, Son-Nan & Jeon, Kisuk, 1998. "Mean reversion behavior of the returns on currency assets," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 185-200.
- David M. Ritzwoller & Joseph P. Romano, 2019. "Uncertainty in the Hot Hand Fallacy: Detecting Streaky Alternatives to Random Bernoulli Sequences," Papers 1908.01406, arXiv.org, revised Apr 2021.
- Shazia Ghani, 2011. "A re-visit to Minsky after 2007 financial meltdown," Post-Print halshs-01027435, HAL.
- Steininger, Lea & Hesse, Casimir, 2024. "Buying into new ideas: The ECB’s evolving justification of unlimited liquidity," Department of Economics Working Paper Series 357, WU Vienna University of Economics and Business.
- Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
- Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
- Andrew Weinbach & Rodney J. Paul, 2009. "National television coverage and the behavioural bias of bettors: the American college football totals market," International Gambling Studies, Taylor & Francis Journals, vol. 9(1), pages 55-66, April.
- Plantinga, Andrew J. & Provencher, Bill, 2001. "Internal Consistency In Models Of Optimal Resource Use Under Uncertainty," 2001 Annual meeting, August 5-8, Chicago, IL 20712, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
More about this item
Keywords
Cadenas de Markov; Calificadoras; Calificaciones Corporativas; Bolsa Mexicana de Valores;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:16:y:2021:i:1:a:3. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.