Núm. 44 (2016)
Artículos

Estrategias dinámicas de cobertura cruzada eficiente para el mercado del petróleo mexicano: Evidencia de dos modelos GARCH multivariados con término de corrección de error

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  • Raúl De Jesús Gutiérrez
Raúl De Jesús Gutiérrez
Universidad Autónoma del Estado de México
Biografía
DOI: https://doi.org/10.24275/ETYPUAM/NE/442016/DeJesus
Publicado junio 1, 2016
Palabras clave
  • modelos MGARCH-CCD con término de corrección de error,
  • razón de cobertura cruzada óptima,
  • índice eficiente de cobertura,
  • mercados de futuros petroleros
Aviso de derechos de autor/a

Resumen

Este trabajo amplía los modelos de correlación condicional dinámica de Engle y de Tse y Tsui al incorporar términos de corrección de error en el diseño de estrategias de cobertura cruzada dinámicas de varianza mínima para el petróleo mexicano. Respecto a la reducción del riesgo, la evidencia empírica confirma el desempeño superior del modelo MGARCH-CCD de Engle cuando se utiliza el mercado de futuros del WTI como mecanismo de cobertura, en particular para los crudos Olmeca e Istmo. Los hallazgos tienen importantes implicaciones económicos-financieras para gobierno y consumidores, debido a la eficiencia y transparencia de las coberturas cruzadas implementadas para reducir el riesgo de bajos precios.

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Citas

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