Nelson Muriel

Universidad Iberoamericana Ciudad de México · Department of Physics and Mathematics

In this paper, we conduct a statistical procedure to respond a very frequent question in Mexican sport media TV: Who is the greatest team in Liga MX? For this purpose, we apply Principal Components to a historical domestic and international results database along with variables related to the fans and the market value of the franchises’ roster from...

Financial derivatives have grown in importance over the last 40 years with futures and options being actively traded on a daily basis throughout the world. The need to accurately price such financial instruments has, thus, also increased, which has given rise to several mathematical models among which is that of Black, Scholes, and Merton whose wid...

Por ello, en este capítulo haremos una identificación estructural de los choques económicos que nos permite separar el componente global de los componentes locales; siguiendo la metodología de Pedroni (2003), podemos capturar la reacción de los 32 estados a cambios persistentes en el componente global y, con ello, conformar una función de reacción...

Esta sección está dedicada a estudiar la evolución distributiva regional de un conjunto de delitos de tipo adquisitivo en México, con lo cual se busca conocer el patrón dinámico de desigualdad que caracteriza al proceso de configuración de la distribución espacial del delito en el país. En particular se analiza el robo a casa habitación, el robo a...

El propósito de esta sección consiste en estudiar la relación entre las fluctuaciones cíclicas del empleo, en sus dimensiones permanente y eventual, y los delitos contra la propieda registrados en los estados de México. En particular se busca determinar, en primera instancia, el grado de sincronización entre los movimientos de corto plazo del emple...

Los autores de esta obra estudian la relación entre economía y delincuencia en los estados de México con énfasis en los robos contra la propiedad, un tipo de delito que a través de una variedad de canales “pueden potencialmente afectar el funcionamiento de una economía, ya que mientras el robo a transeúntes puede modificar los patrones de consumo d...

Due to the substantial volatility faced by corporations, financial institutions, and even non-profit organizations, which is caused by both internal and external factors, among the latter are the constant globalization of transactions, asymmetric information, transaction costs, unforeseen variations in interest rates, and currently the impact of CO...

Crime deterrence is of significant importance in public policy in México due to high and sustained levels of insecurity. Traditionally, public policies, including training programs for security enforcement agents and increasing the police force, have been implemented under an implicit understanding that economic stress and fluctuations have compara...

Team performance of the Mexican Football League (Liga MX), measured as the percentage of the total points obtained during each short tournament, is analyzed using Dynamic Factor Models (DFMs). The estimation of the common components is carried out with Principal Components and the stochastic nature of the DFM is studied through Panel Analysis of No...

Two modified Portmanteau statistics are studied under dependence assumptions common in financial applications which can be used for testing that heteroskedastic time series are serially uncorrelated without assuming independence or Normality. Their asymptotic distribution is found to be null and their small sample properties are examined via Monte...

Se estudia la relación entre el ciclo económico y el ciclo delictivo utilizando un modelo de panel espacial SARAR. El ciclo económico se representa con el componente cíclico del PIB real según el filtro de Hodrick-Prescott. Se analizan delitos contra la propiedad y contra las personas.

Un número significativo de estudios empíricos sobre violencia en México asumen que las series de homicidios en el nivel municipal provienen de un proce- so generador de datos que sigue una distribución normal; sin embargo, cuando se evalúa la naturaleza de éstos, encontramos que son datos de conteo. En ese sentido, los modelos econométricos que per...

Cointegration tests are studied for seasonal time series with large periods. The study is performed asymptotically as the period tends to infinity, which is shown to allow a simple limit distribution to be established. These results offer a simple diagnostic tool for cointegration when the seasonal period is expected to be large, and its critical v...

A multivariate stochastic unit root process is used to test a simple versus a stochastic unit root. The score statistic and its asymptotic distribution under the null are given, and the test is seen to have a very acceptable power function. Simulations are performed to assess the robustness of the procedure in two common circumstances: preselecting...

The possibility of modeling heavy tails using generalized autoregressive conditional heteroskedasticity (GARCH) models has been rigorously established in the univariate case, and the consequences that this heavy tailedness has on the distributional limits of the sample autocovariance function are well known. In the multivariate case, however, the r...

This paper addresses the testing for cointegrating vectors and the estimation of cointegrating relations using Partial Least Squares. Together with Harris (1997) and Bossaerts (1988), the PLS approach relies on a method of multivariate statistics and thus does not require identifying restrictions on the cointegrating vectors or of a full specificat...

We establish the regular variation of the finite dimensional distributions of the multivariate GARCH(p, q) process with constant conditional correlations under mild assumptions on the noise distribution. We use this property for two main purposes: First, to describe the componentwise-maximum domain of attraction in which the process lies; and secon...