REPOSITORIO
INSTITUCIONAL

    • español
    • English
  • Site map
  • English 
    • español
    • English
  • Login
  • Artículos(current)
  • Libros
  • Tesis
  • Trabajos de grado
  • Documentos Institucionales
    • Actas
    • Acuerdos
    • Decretos
    • Resoluciones
  • Multimedia
  • Productos de investigación
  • Acerca de
View Item 
  •   Home
  • Artículos
  • Indexados Scopus
  • View Item
  •   Home
  • Artículos
  • Indexados Scopus
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Relationship between securities that make up the yield curve of the Colombian public debt market [Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano]

Thumbnail
Share this
Author
Cantillo J.
Arango M.
Gonzalez J.
Jaramillo M.

Citación

       
TY - GEN T1 - Relationship between securities that make up the yield curve of the Colombian public debt market [Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano] AU - Cantillo J. AU - Arango M. AU - Gonzalez J. AU - Jaramillo M. UR - http://hdl.handle.net/11407/5683 PB - IEEE Computer Society AB - Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed. © 2019 AISTI. ER - @misc{11407_5683, author = {Cantillo J. and Arango M. and Gonzalez J. and Jaramillo M.}, title = {Relationship between securities that make up the yield curve of the Colombian public debt market [Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano]}, year = {}, abstract = {Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed. © 2019 AISTI.}, url = {http://hdl.handle.net/11407/5683} }RT Generic T1 Relationship between securities that make up the yield curve of the Colombian public debt market [Relación entre títulos que conforman la curva de rendimientos del mercado de deuda pública colombiano] A1 Cantillo J. A1 Arango M. A1 Gonzalez J. A1 Jaramillo M. LK http://hdl.handle.net/11407/5683 PB IEEE Computer Society AB Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed. © 2019 AISTI. OL Spanish (121)
Gestores bibliográficos
Refworks
Zotero
BibTeX
CiteULike
Metadata
Show full item record
Abstract
Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed. © 2019 AISTI.
URI
http://hdl.handle.net/11407/5683
Collections
  • Indexados Scopus [2005]
All of RI UdeMCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects
My AccountLoginRegister
Statistics GTMView statistics GTM
OFERTA ACADÉMICA
  • Oferta académica completa
  • Facultad de Derecho
  • Facultad de Comunicación
  • Facultad de Ingenierías
  • Facultad de Ciencias Económicas y Administrativas
  • Facultad de Ciencias Sociales y Humanas
  • Facultad de Ciencias Básicas
  • Facultad de Diseño
SERVICIOS
  • Teatro
  • Educación continuada
  • Centro de Idiomas
  • Consultorio Jurídico
  • Centro de Asesorías y Consultorías
  • Prácticas empresariales
  • Operadora Profesional de Certámenes
INVESTIGACIÓN
  • Biblioteca
  • Centros de investigación
  • Revistas científicas
  • Repositorio institucional
  • Universidad - Empresa - Estado - Sociedad

Universidad de Medellín - Teléfono: +57 (4) 590 4500 Ext. 11422 - Dirección: Carrera 87 N° 30 - 65 Medellín - Colombia - Suramérica
© Copyright 2012 ® Todos los Derechos Reservados
Contacto

 infotegra.com