<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462016000300141</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Pronóstico de un título de renta fija en Colombia]]></article-title>
<article-title xml:lang="en"><![CDATA[Forecast of Fixed Income Securities in Colombia]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Martínez Patiño]]></surname>
<given-names><![CDATA[Manuel Andrés]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ariza Garzón]]></surname>
<given-names><![CDATA[Miller Janny]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="A01">
<institution><![CDATA[,Universidad Piloto de Colombia  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2016</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2016</year>
</pub-date>
<volume>11</volume>
<numero>3</numero>
<fpage>141</fpage>
<lpage>159</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462016000300141&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462016000300141&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462016000300141&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: El objetivo de este trabajo es presentar las bondades de incluir el patrón de persistencia a través de la constante de Hurst en el pronóstico de series financieras. En particular, se realiza y evalúa el pronóstico de la serie referente de los precios del mercado con mayor volumen de negociación en Colombia, las tasas diarias de interés de los bonos cero cupón generadas por el Banco Central. Para esto, se utiliza la información diaria de esta variable en la ventana de tiempo 2003 a 2015. Se compararon los resultados de los procesos Ornstein Uhlenbeck y Fraccional Ornstein Uhlenbeck. La evaluación del pronóstico se soporta en el Test de Diebold y Mariano y una evaluación financiera de una inversión sin costos de transacción. Aunque la estimación de la persistencia se podría robustecer con pruebas inferenciales, se destaca la importancia de tener en cuenta este patrón para obtener mejor precisión en pronóstico y un mejor retorno en inversión que al trabajar con un proceso generador que asuma independencia cuando las series no sugieren este comportamiento. Clasificación JEL: G12, G14.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: The aim of this paper is to present the benefits of including the pattern of persistence through the Hurst constant in the forecasting of financial time series. In particular, it is done a forecast of the benchmark series of market prices with larger trading volumes in Colombia, the daily interest rates of zero coupon bonds generated by the Central Bank. For this, it is use the information in a time frame 2003 to 2015 to get the results and compare the processes Ornstein Uhlenbeck and the Fractional Ornstein Uhlenbeck. Prognostic assessment is supported on the Diebold and Mariano test and a financial evaluation of an investment without transaction costs. Although the estimation of persistence could strengthen with inferential evidence, it&#8217;s suggested also the importance of taking into account this pattern for better accuracy in forecasting and a better return on investment working with a generative process that assumes dependence instead independence. JEL Classification: G12, G14.]]></p></abstract>
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<kwd lng="en"><![CDATA[Hurst Parameter]]></kwd>
<kwd lng="en"><![CDATA[Fractional Process Ornstein Uhlenbeck]]></kwd>
<kwd lng="en"><![CDATA[Interest Rates.]]></kwd>
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