Adaptive Forecasting of Exchange Rates with Panel Data

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii) cyclical and confidence indices. Exchange rate forecasts at various horizons are obtained from each of the potential predictors using single market, mean group and pooled estimates by means of rolling window and recursive forecasting schemes. The capabilities of single predictors and of adaptive techniques for combining the generated exchange rate forecasts are subsequently examined by means of statistical and economic performance measures. The forward premium and a predictor based on a Taylor rule yield the most promising forecasting results out of the macro 'fundamentals' considered. For recursive forecasting, confidence indices and volatility in-mean yield more accurate forecasts than most of the macro 'fundamentals'. Adaptive forecast combinations techniques improve forecasting precision and lead to better market timing than most single predictors at higher horizons.exchange rate forecasting; panel data; forecast combinations; market timing

Dictamen

Treballs Finals de Grau de Dret. Universitat de Barcelona. Curs: 2014-2015. Tutor: Ujala Joshi Juber

Implementación de una aplicación móvil para vender hortalizas utilizando live streaming

El presente trabajo pretende informar una manera diferente de comercializar hortalizas en internet utilizando diferentes herramientas que permitan una mejor interacción B2C (Business to Consumer) o B2B (Business to Business) y comodidad entre las partes, direccionando el mercado de hortalizas a las nuevas tecnologías que se han desarrollado alrededor del mundo y cuyo fin es la facilidad y comodidad del ser humano. En el desarrollo del documento se estima la creación de una aplicación móvil para teléfonos celulares, que implemente la tecnología live streaming, como medio de difusión y de conexión con el consumidor final, para este caso en específico se pretende vender hortalizas bajo el uso de la app, utilizando trasmisiones en vivo desde Corabastos ubicado en la ciudad de Bogotá, a su vez se da a conocer el desarrollo de esta herramienta en el mundo, las problemáticas internas que tiene la central de abastos para que sus comerciantes potencialicen sus negocios mediante el uso de herramientas tecnológicas, las futuras instalaciones, las problemáticas macroeconómicas del sector nicho del proyecto (restaurantes- tiendas de barrio), a causa de la pandemia covid-19 y la viabilidad del plan de negocios y sus fuentes de financiación previstas como ángeles inversores, capital semilla o banca privada.Resumen ejecutivo. -- Palabras clave. -- Abstract. -- Keyword. -- Lista de ilustraciones. -- Lista de tablas. -- Antecedentes. -- Análisis sectorial. -- Características del sector. -- Telefonía móvil. -- Servicios fijos. -- Internet fijo. -- Telefonía fija. -- Radio. -- Servicios postales. -- Factores de competitividad. -- Conectividad. -- Transformación digital de las empresas. -- Competencias digitales. -- Análisis del macroentorno. -- Factores políticos. -- Factor económico. -- Factor social. -- Tendencias tecnologías. -- Tendencias ambientales. -- Análisis del microentorno. -- Análisis sobre riesgos y oportunidades. -- Estudio de mercado. -- Análisis de la demanda. -- Segmento del mercado. -- Tamaño del mercado. -- Tiendas de barrio. -- Demanda potencial. -- Análisis de la oferta. -- Análisis de la competencia. -- Oportunidades a partir del análisis de la competencia. -- Investigación de mercado. -- Objetivo de la investigación. -- Justificación de la investigación. -- Metodología de la investigación. -- Recolección y análisis de datos. -- Estrategias de marketing. -- Plan de introducción al mercado. -- Prototipo. -- Empaque. -- Estrategias de distribución. -- Fijación y políticas de precio. -- Estrategias de comunicación y promoción. -- Servicio. -- Ventaja competitiva y propuesta de valor. -- Estudio técnico. -- Descripción del proceso de servicio. -- Infraestructura requerida (equipos instalaciones, materia prima). -- Estimación y características. -- Identificación de proveedores y cotizaciones. -- Proyección de producción. -- Capacidad instalada. -- Plan de ventas. -- Mano de obra requerida. -- Localización de la empresa. -- Estudio financiero. -- Estructura de costos y de gastos. -- Costos fijos. -- Mano de obra. -- Gastos. -- Capital inicial. -- Proyección de estados financieros. -- Flujo de efectivo. -- Estado de resultados. -- Balance general. -- Evaluación de indicadores financieros. -- Fuentes de financiación. -- Conclusiones. -- Bibliografía. -- Anexos

Relative forecasting performance of volatility models: Monte Carlo evidence

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under alternative data generating processes (DGPs). The models included in the MC study are the (Fractionally Integrated) Generalized Autoregressive Conditional Heteroskedasticity models ((FI)GARCH), the Stochastic Volatility model (SV) and the Markov-switching Multifractal model (MSM). The MC study enables to compare the relative forecasting performance of models, which account for different characterizations of the latent volatility process: specifications which incorporate short/long memory, autoregressive components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE), Mean Absolute Errors (MAE) and Value-at-Risk (VaR) diagnostics. Furthermore, complementarities between models are explored via forecast combinations. The results show that (i) the MSM model best forecasts volatility under any other alternative characterization of the latent volatility process and (ii) forecast combinations provide a systematic improvement upon forecasts of single models

An empirical analysis of the relationship between US monetary policy and international asset prices

This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically significant response to US monetary policy shocks. The estimated impact of US monetary policy is heterogeneous across countries but statistically significant at the aggregate level in equity and bond markets. The aggregate impact (in absolute terms) and the 'goodness of fit' of US monetary policy on international equity and real estate security markets seems to be increasing over time

Adaptive forecasting of exchange rates with panel data

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii) cyclical and confidence indices. Exchange rate forecasts at various horizons are obtained from each of the potential predictors using single market, mean group and pooled estimates by means of rolling window and recursive forecasting schemes. The capabilities of single predictors and of adaptive techniques for combining the generated exchange rate forecasts are subsequently examined by means of statistical and economic performance measures. The forward premium and a predictor based on a Taylor rule yield the most promising forecasting results out of the macro 'fundamentals' considered. For recursive forecasting, confidence indices and volatility in-mean yield more accurate forecasts than most of the macro 'fundamentals'. Adaptive forecast combinations techniques improve forecasting precision and lead to better market timing than most single predictors at higher horizons

Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we introduce a new model to the family of Markov-Switching Multifractal models of asset returns (MSM), namely, the Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models of the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) legacy. Our cross-sections consist of all-share equity indices, bond indices and real estate security indices at the country level. Furthermore, we investigate complementarities between models via combined forecasts. We find that: (i) Maximum Likelihood (ML) and Generalized Method of Moments (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations obtained from the different MSM and (FI)GARCH models considered appear to provide some improvement upon forecasts from single models

The Ciao clp(FD) library. A modular CLP extension for Prolog

We present a new free library for Constraint Logic Programming over Finite Domains, included with the Ciao Prolog system. The library is entirely written in Prolog, leveraging on Ciao's module system and code transformation capabilities in order to achieve a highly modular design without compromising performance. We describe the interface, implementation, and design rationale of each modular component. The library meets several design goals: a high level of modularity, allowing the individual components to be replaced by different versions; highefficiency, being competitive with other TT> implementations; a glass-box approach, so the user can specify new constraints at different levels; and a Prolog implementation, in order to ease the integration with Ciao's code analysis components. The core is built upon two small libraries which implement integer ranges and closures. On top of that, a finite domain variable datatype is defined, taking care of constraint reexecution depending on range changes. These three libraries form what we call the TT> kernel of the library. This TT> kernel is used in turn to implement several higher-level finite domain constraints, specified using indexicals. Together with a labeling module this layer forms what we name the TT> solver. A final level integrates the CLP (J7©) paradigm with our TT> solver. This is achieved using attributed variables and a compiler from the CLP (J7©) language to the set of constraints provided by the solver. It should be noted that the user of the library is encouraged to work in any of those levels as seen convenient: from writing a new range module to enriching the set of TT> constraints by writing new indexicals

A conditionally heteroskedastic global inflation model

This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the G7. The estimated volatility of the common inflation component captures the international effects of the 'Great Moderation' and of the 'Great Recession'. The model also shows promising capabilities for forecasting inflation in several countries

Etnomatemática y la construcción civil

El actual trabajo, considera varios aspectos teóricos que involucran temáticas de las  matemáticas como de la Etnomatemática, las cuales al ser abordadas dentro del análisis de las prácticas de un albañil, permitieron desplegar una serie de acciones que posibilitaron una pequeña investigación en torno a evidenciar los procesos matemáticos referentes a la conversión de medidas, la construcción de circunferencias y la medición de ángulos que se dan de manera implícita en las prácticas laborales de un grupo social determinado (albañiles)