DOI:https://doi.org/10.3232/GCG.2019.V13.N2.05

UN MODELO ECONOMÉTRICO PANEL-MIDAS DE LOS RENDIMIENTOS DE ACCIONES DEL MERCADO BURSATIL BRASILEÑO

Aline Moura Costa da Silva, Otávio Ribeiro de Medeiros

Resumen

Presentamos la especificación, la estimación y los análisis de un modelo econométrico para explicar y pronosticar los rendimientos de acciones del mercado bursatil brasileño. Las variables explicativas del modelo incluyen variables macroeconómicas, fundamentales y comportamentales muestreadas con diferentes frecuencias. El modelo utiliza la metodología de regresión MIDAS, que permite la estimación de regresiones con variables medidas en diferentes frecuencias. La muestra usada incluye acciones de instituciones no financieras del mercado accionario brasileño entre 2010 y 2016. Los resultados indican que el modelo es robusto explicando y pronosticando los rendimientos individuales de las acciones del mercado.
Vistas: 41
Descargas PDF (English): 38

 

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