ORCID Profile
0000-0002-4113-5521
Current Organisation
CESA Business School
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Publisher: MDPI AG
Date: 22-09-2022
DOI: 10.3390/EN15196930
Abstract: This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in the present study, the definition of returns is simply the “rate of change” of observed prices for different periods). Of particular interest is the impact of coskewness and cokurtosis when modeling Colombian electricity price returns. We found that coskewness as an augmentation factor is highly significant and should be considered when modeling Colombian electricity price returns. The results obtained for coskewness as an augmentation factor in a volume model are consistent when using either an Ordinary Least Square (OLS) and Generalized Method of Moments (GMM) specification for the data employed. On the other hand, the effect of cokurtosis is highly irrelevant and not significant in most cases under the proposed specification.
Publisher: Emerald
Date: 12-09-2016
Abstract: The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Using standard event study methodology, the authors want to see if a surprise (originating from macroeconomic news and GFC events) has a significant effect on asset prices measurable as abnormal returns. The authors also assume that the US market acted as a transmission mechanism for the crisis in a standard market model framework and control for confounding effects from events that originated from the crisis by taking into account the effect of global, regional and local macroeconomic surprises in the period before, during and after the GFC. The results show that there was resilience and decoupling of the Colombian local currency bond market from the events of the GFC. The results show that there was resilience (in terms of abnormal returns) and decoupling of the Colombian local currency bond market from the events of the GFC. The paper also finds that, on an average, Colombian bonds performed better during the period of the GFC than the period before and after the GFC. In the event study using in idual bonds the paper finds that, in most cases, negative news had a positive impact in Colombian bond prices during the GFC. These results have important policy implications in emerging markets economies in terms of the benefits of substituting foreign currency debt with local currency debt. This paper provides a date and time-specific timeline (Table III) of the most significant GFC events and news. The paper finds that for all the periods under observation local news related to inflation had the greatest impact in bond prices. In the case of global and regional news, inflation and trade-related surprises had also significant effects on bond prices but to a lesser extent.
Publisher: Centre of Sociological Research, NGO
Date: 06-2020
Publisher: Universidad Icesi
Date: 07-2010
Publisher: Informa UK Limited
Date: 05-2014
Publisher: Universidad Icesi
Date: 04-2010
Publisher: SciELO Agencia Nacional de Investigacion y Desarrollo (ANID)
Date: 10-2021
Publisher: Elsevier BV
Date: 10-2017
Publisher: Elsevier BV
Date: 12-2019
Publisher: LLC CPC Business Perspectives
Date: 24-11-2021
DOI: 10.21511/IMFI.18(4).2021.19
Abstract: In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.
Publisher: Elsevier BV
Date: 03-2018
Publisher: World Scientific and Engineering Academy and Society (WSEAS)
Date: 16-09-2020
DOI: 10.37394/23207.2020.17.84
Abstract: In this paper we explore the difference of quality in higher education between accredited and non-accredited higher education institutions (HEIs) in Colombia. For that purpose we test if the difference of the National Exam of Student Performance (Saber Pro), which is our proxy for quality between institutional accredited and non-accredited institutions is statistically significant. The hypothesis is that indeed those HEIs that have been granted the institutional quality accreditation by the Colombian ministry of education should have better results in the national exam than those that not. We argue that for robustness of the results, it is necessary to control for confounding effects among comparable HEIs. For this purpose, we employ a propensity matching score approach based on common financial characteristics in order to avoid issues of selection bias. Our results find that the difference in performance between accredited and non-accredited institutions is positive and statistically significant. This difference between performances can be attributable to the substantial differences in the pattern of expenditures and asset investment of non-accredited HEIs.
Publisher: Centre of Sociological Research, NGO
Date: 09-2021
Publisher: Centre of Sociological Research, NGO
Date: 12-2018
Publisher: Springer Science and Business Media LLC
Date: 13-03-2021
Publisher: EconJournals
Date: 10-2019
DOI: 10.32479/IJEEP.8220
Location: United States of America
No related grants have been discovered for Edgardo Cayon-Fallon.