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dc.creatorCantillo J.
dc.creatorArango M.
dc.creatorGonzalez J.
dc.creatorJaramillo M.
dc.descriptionBased 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.
dc.publisherIEEE Computer Society
dc.sourceIberian Conference on Information Systems and Technologies, CISTI
dc.subjectEconometric Models
dc.subjectFixed Income
dc.subjectLocal TES Market
dc.subjectYield Curve
dc.subjectEconomic analysis
dc.subjectElectronic trading
dc.subjectInformation systems
dc.subjectInformation use
dc.subjectEconometric model
dc.subjectEquilibrium relations
dc.subjectFixed Income
dc.subjectMedium term
dc.subjectPortfolio investment
dc.subjectYield curve
dc.subjectFinancial markets
dc.titleRelationship 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]
dc.typeConference Papereng
dc.publisher.programIngeniería Financiera
dc.publisher.facultyFacultad de Ingenierías
dc.affiliationCantillo, J., Universidad de Medellín, Medellín, Colombia; Arango, M., Facultad de Ingenierías, Universidad de Medellín, Universidad Nacional de Colombia, Medellín, Colombia; Gonzalez, J., Medellín, Colombia; Jaramillo, M., Universidad de Medellín, Medellín, Colombia
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