<?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>S1665-53462019000200203</article-id>
<article-id pub-id-type="doi">10.21919/remef.v14i2.307</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection]]></article-title>
<article-title xml:lang="es"><![CDATA[Modelado y pronostico del tipo cambio de México (Peso / Dólar): Un enfoque Bayesiano para la selección del modelo]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cabrera González]]></surname>
<given-names><![CDATA[Gustavo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de Guadalajara  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2019</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2019</year>
</pub-date>
<volume>14</volume>
<numero>2</numero>
<fpage>203</fpage>
<lpage>219</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462019000200203&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462019000200203&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462019000200203&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This article studies the econometric modeling and the projection of growth rates of the nominal exchange rate (Peso/Dollar) from 1995 to 2018. Applying Bayesian simulation methods, the best data modeling fit between linear and non-linear econometric approaches is studied by introducing Markovian regime change parameters. The Bayes factor for model selection provides the following evidence: in the analysis of daily growth rates there are periods with low, medium, and high volatility. In the monthly rates, changes were also found in the mean and the volatility of the process. The linear autoregressive econometric model is not supported by the data in any case. Furthermore, instead of structural changes in these rates, evidence of state-dependent parameters is present. The high volatility in both data frequencies coincides with the sub-prime crisis in 2008-2009, but also with other sample periods. Moreover, an optimal weighting approach is applied to Markovian regime change models to study forecast errors in the sample. From this exercise, the forecasting errors of the exchange rate growth rates are lower than those of the linear autoregressive model. Finally, the out-of-sample errors of regime change models and optimal methods, in most cases, exceed those of linear inferences in both data frequencies.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este artículo estudia el modelado econométrico y pronóstico de tasas de crecimiento del tipo de cambio nominal (Peso/Dólar) de 1995 a 2018. Aplicando métodos de simulación Bayesiana se estudia la mejor modelación de ajuste a los datos entre enfoques econométricos lineales y no-lineales introduciendo parámetros Markovianos de cambio de régimen. El factor de Bayes para seleccionar modelos proporciona la siguiente evidencia: en el análisis de tasas de crecimiento diarias hay periodos con baja, media y alta volatilidad. En las tasas mensuales, también se encontraron cambios en la media y la volatilidad del proceso. El modelo econométrico autorregresivo lineal no es soportado por los datos en ningún caso. Además, en lugar de los cambios estructurales en dichas tasas, hay evidencia de parámetros dependientes del estado. La alta volatilidad en ambas frecuencias de datos coincide con la crisis sub-prime en 2008-2009, pero también con otros períodos de la muestra. Mas aún, se aplica un enfoque de ponderación óptimo a modelos Markovianos de cambio de régimen para estudiar los errores de pronóstico en la muestra. De este ejercicio, los errores de pronóstico de las tasas de crecimiento del tipo de cambio son menores a los del modelo lineal autorregresivo. Finalmente, los errores fuera de la muestra de modelos de cambio de régimen y métodos óptimos, en la mayor parte de los casos, superan aquellos de las inferencias lineales en ambas frecuencias de los datos.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Mexican exchange rate]]></kwd>
<kwd lng="en"><![CDATA[Markov switching]]></kwd>
<kwd lng="en"><![CDATA[Financial volatility]]></kwd>
<kwd lng="en"><![CDATA[Bayesian analysis]]></kwd>
<kwd lng="en"><![CDATA[Forecasting]]></kwd>
<kwd lng="en"><![CDATA[F31]]></kwd>
<kwd lng="en"><![CDATA[C24]]></kwd>
<kwd lng="en"><![CDATA[C11]]></kwd>
<kwd lng="en"><![CDATA[G17]]></kwd>
<kwd lng="es"><![CDATA[Tipo de cambio en México]]></kwd>
<kwd lng="es"><![CDATA[Parámetros Makovianos]]></kwd>
<kwd lng="es"><![CDATA[Volatilidad Financiera]]></kwd>
<kwd lng="es"><![CDATA[Análisis Bayesiano]]></kwd>
<kwd lng="es"><![CDATA[Pronóstico]]></kwd>
<kwd lng="es"><![CDATA[F31]]></kwd>
<kwd lng="es"><![CDATA[C24]]></kwd>
<kwd lng="es"><![CDATA[C11]]></kwd>
<kwd lng="es"><![CDATA[G17]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Aggarwal]]></surname>
<given-names><![CDATA[R]]></given-names>
</name>
<name>
<surname><![CDATA[Inclan]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Leal]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Volatility in emerging stock markets]]></article-title>
<source><![CDATA[Journal of financial and Quantitative Analysis]]></source>
<year>1999</year>
<volume>34</volume>
<numero>01</numero>
<issue>01</issue>
<page-range>33-55</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Andrews]]></surname>
<given-names><![CDATA[D]]></given-names>
</name>
<name>
<surname><![CDATA[Ploberger]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Optimal tests when a nuisance parameter is present only under the alternative]]></article-title>
<source><![CDATA[Econometrica]]></source>
<year>1994</year>
<volume>62</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>1383-414</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bauwens]]></surname>
<given-names><![CDATA[L]]></given-names>
</name>
<name>
<surname><![CDATA[Dufays]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Rombouts]]></surname>
<given-names><![CDATA[J. V.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Marginal likelihood for Markov-switching and change-point (GARCH) models]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>2014</year>
<volume>178</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>508-22</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bazdresch]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
<name>
<surname><![CDATA[Werner]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Regime switching models for the Mexican peso]]></article-title>
<source><![CDATA[Journal of International Economics]]></source>
<year>2005</year>
<volume>65</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>185-201</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Benavides]]></surname>
<given-names><![CDATA[G]]></given-names>
</name>
<name>
<surname><![CDATA[Capistrn]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts]]></article-title>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>2012</year>
<volume>19</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>627-39</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Boot]]></surname>
<given-names><![CDATA[T]]></given-names>
</name>
<name>
<surname><![CDATA[Pick]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Optimal forecasts from Markov switching models]]></article-title>
<source><![CDATA[Journal of Business Economic Statistics]]></source>
<year>2017</year>
<volume>0</volume>
<numero>0</numero>
<issue>0</issue>
<page-range>1-15</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brown]]></surname>
<given-names><![CDATA[C. J]]></given-names>
</name>
<name>
<surname><![CDATA[Curci]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Mexican peso futures and exchange rate volatility]]></article-title>
<source><![CDATA[Latin American Business Review]]></source>
<year>2002</year>
<volume>3</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>75-90</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cabrera]]></surname>
<given-names><![CDATA[G]]></given-names>
</name>
<name>
<surname><![CDATA[Coronado]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Rojas]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
<name>
<surname><![CDATA[Romero-Meza]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A Bayesian approach to model changes in volatility in the Mexican stock exchange index]]></article-title>
<source><![CDATA[Applied Economics]]></source>
<year>2018</year>
<volume>50</volume>
<numero>15</numero>
<issue>15</issue>
<page-range>1716-24</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Carrasco]]></surname>
<given-names><![CDATA[M]]></given-names>
</name>
<name>
<surname><![CDATA[Hu]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Ploberger]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Optimal Test for Markov Switching Parameters]]></article-title>
<source><![CDATA[Econometrica]]></source>
<year>2014</year>
<volume>82</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>765-84</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[S.-W]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990]]></article-title>
<source><![CDATA[Applied Economics]]></source>
<year>2010</year>
<volume>42</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>121-32</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Clarida]]></surname>
<given-names><![CDATA[R. H]]></given-names>
</name>
<name>
<surname><![CDATA[Sarno]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Taylor]]></surname>
<given-names><![CDATA[M. P.]]></given-names>
</name>
<name>
<surname><![CDATA[Valente]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The out-of-sample success of term structure models as exchange rate predictors: a step beyond]]></article-title>
<source><![CDATA[Journal of International Economics]]></source>
<year>2003</year>
<volume>60</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>61-83</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cont]]></surname>
<given-names><![CDATA[R]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Empirical properties of asset returns: stylized facts and statistical issues]]></article-title>
<source><![CDATA[Quantitative Finance]]></source>
<year>2001</year>
<volume>1</volume>
<page-range>223-36</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Diebold]]></surname>
<given-names><![CDATA[F. X]]></given-names>
</name>
<name>
<surname><![CDATA[Inoue]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Long memory and regime switching]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>2001</year>
<volume>105</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>131-59</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Diebold]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
<name>
<surname><![CDATA[Rudebusch]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Business Cycles: Durations, Dynamics, and Forecasting]]></source>
<year>1999</year>
<publisher-loc><![CDATA[New Jersey ]]></publisher-loc>
<publisher-name><![CDATA[Princeton University Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Engel]]></surname>
<given-names><![CDATA[C]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Can the Markov switching model forecast exchange rates?]]></article-title>
<source><![CDATA[Journal of International Economics]]></source>
<year>1994</year>
<volume>36</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>151-65</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Engel]]></surname>
<given-names><![CDATA[C]]></given-names>
</name>
<name>
<surname><![CDATA[Kim]]></surname>
<given-names><![CDATA[C.-J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The long-run U.S./U.K. real exchange rate]]></article-title>
<source><![CDATA[Journal of Money, Credit and Banking]]></source>
<year>1999</year>
<volume>31</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>335-56</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E. F]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The behavior of stock market prices]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1965</year>
<page-range>34-105</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Frühwirth-Schnatter]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Fully Bayesian analysis of switching gaussian state space models]]></article-title>
<source><![CDATA[Annals of the Institute of Statistical Mathematics]]></source>
<year>2001</year>
<volume>53</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>31-49</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Frühwirth-Schnatter]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques]]></article-title>
<source><![CDATA[Econometrics Journal]]></source>
<year>2004</year>
<volume>7</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>143-67</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Frühwirth-Schnatter]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<source><![CDATA[Finite Mixture and Markov Switching Models]]></source>
<year>2006</year>
<edition>1 ed</edition>
<publisher-loc><![CDATA[New York ]]></publisher-loc>
<publisher-name><![CDATA[Springer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Granger]]></surname>
<given-names><![CDATA[C. W]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Some comments on risk]]></article-title>
<source><![CDATA[Journal of Applied Econometrics]]></source>
<year>2002</year>
<volume>17</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>447-56</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamilton]]></surname>
<given-names><![CDATA[J]]></given-names>
</name>
<name>
<surname><![CDATA[Raj]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Advances in Markov-switching models]]></source>
<year>2002</year>
<volume>27</volume>
<page-range>149-62</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamilton]]></surname>
<given-names><![CDATA[J . D]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A new approach to the economic analysis of nonstationary time series and the business cycle]]></article-title>
<source><![CDATA[Econometrica]]></source>
<year>1989</year>
<volume>57</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>357-84</page-range></nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamilton]]></surname>
<given-names><![CDATA[J . D]]></given-names>
</name>
</person-group>
<source><![CDATA[What&#8217;s real about the business cycle?]]></source>
<year>2005</year>
<publisher-name><![CDATA[National Bureau of Economic Research]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamilton]]></surname>
<given-names><![CDATA[J. D]]></given-names>
</name>
<name>
<surname><![CDATA[Susmel]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Autoregressive conditional heteroskedasticity and changes in regime]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1994</year>
<volume>64</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>307-33</page-range></nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hansen]]></surname>
<given-names><![CDATA[B]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP]]></article-title>
<source><![CDATA[Journal of Applied Econometrics]]></source>
<year>1996</year>
<volume>11</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>195-8</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Heath]]></surname>
<given-names><![CDATA[E. B]]></given-names>
</name>
<name>
<surname><![CDATA[Kopchak]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The response of the Mexican equity market to us monetary surprises]]></article-title>
<source><![CDATA[Journal of Emerging Market Finance]]></source>
<year>2015</year>
<volume>14</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>87-111</page-range></nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ibarra Salazar]]></surname>
<given-names><![CDATA[J]]></given-names>
</name>
<name>
<surname><![CDATA[Cantu]]></surname>
<given-names><![CDATA[J. d. J. Salazar]]></given-names>
</name>
<name>
<surname><![CDATA[Aguirre]]></surname>
<given-names><![CDATA[R. Navarro]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimación de modelos estructurales y la evolución del tipo de cambio peso dólar después de la crisis sub-prime]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas]]></source>
<year>2017</year>
<volume>12</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>405-30</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Islas-Camargo]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
<name>
<surname><![CDATA[Cortez]]></surname>
<given-names><![CDATA[W. W.]]></given-names>
</name>
<name>
<surname><![CDATA[Sanabria Flores]]></surname>
<given-names><![CDATA[T. P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Is Mexico&#8217;s forward exchange rate market efficient?]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas]]></source>
<year>2017</year>
<volume>13</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>247-27</page-range></nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kass]]></surname>
<given-names><![CDATA[R. E]]></given-names>
</name>
<name>
<surname><![CDATA[Raftery]]></surname>
<given-names><![CDATA[A. E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Bayes factors]]></article-title>
<source><![CDATA[Journal of the American Statistical Association]]></source>
<year>1995</year>
<volume>90</volume>
<numero>430</numero>
<issue>430</issue>
<page-range>773-95</page-range></nlm-citation>
</ref>
<ref id="B31">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kim]]></surname>
<given-names><![CDATA[C.-J]]></given-names>
</name>
<name>
<surname><![CDATA[Nelson]]></surname>
<given-names><![CDATA[C. R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle]]></article-title>
<source><![CDATA[The Review of Economics and Statistics]]></source>
<year>1999</year>
<volume>81</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>608-16</page-range></nlm-citation>
</ref>
<ref id="B32">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kim]]></surname>
<given-names><![CDATA[C.-J]]></given-names>
</name>
<name>
<surname><![CDATA[Nelson]]></surname>
<given-names><![CDATA[C. R.]]></given-names>
</name>
</person-group>
<source><![CDATA[State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications]]></source>
<year>1999</year>
<volume>1</volume>
<edition>1 ed</edition>
<publisher-loc><![CDATA[Boston ]]></publisher-loc>
<publisher-name><![CDATA[MIT Press]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B33">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lopez Herrera]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Modelado de la volatilidad y pronostico del índice de precios y cotizaciones de la bolsa mexicana de valores]]></article-title>
<source><![CDATA[Contaduría y Administración]]></source>
<year>2004</year>
<numero>213</numero>
<issue>213</issue>
<page-range>43-72</page-range></nlm-citation>
</ref>
<ref id="B34">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lopez-Herrera]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
<name>
<surname><![CDATA[Ortiz-Arango]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martinez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Crecimiento y desarrollo económico en México, Modelado de la volatilidad del índice de precios y cotizaciones de la Bolsa Mexicana de Valores con cambios Markovianos de régimen]]></source>
<year>2011</year>
<publisher-loc><![CDATA[México ]]></publisher-loc>
<publisher-name><![CDATA[BUAP]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B35">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lopez-Herrera]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martinez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Métodos no lineales en series económicas y financieras, Modelado de la volatilidad del Mercado mundial de capitales durante la crisis mundial mediante una cadena de Markov]]></source>
<year>2011</year>
<publisher-loc><![CDATA[Guadalajara ]]></publisher-loc>
<publisher-name><![CDATA[Universidad de Guadalajara]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B36">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Loschi]]></surname>
<given-names><![CDATA[R]]></given-names>
</name>
<name>
<surname><![CDATA[Moura]]></surname>
<given-names><![CDATA[C. R.]]></given-names>
</name>
<name>
<surname><![CDATA[Iglesias]]></surname>
<given-names><![CDATA[P. L.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Bayesian analysis for change points in the volatility of Latin American emerging markets]]></article-title>
<source><![CDATA[Journal of Data Science]]></source>
<year>2005</year>
<volume>3</volume>
<page-range>101-22</page-range></nlm-citation>
</ref>
<ref id="B37">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Meng]]></surname>
<given-names><![CDATA[X.-l]]></given-names>
</name>
<name>
<surname><![CDATA[Wong]]></surname>
<given-names><![CDATA[W. H.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Simulating ratios of normalizing constants via a simple identity: A theoretical exploration]]></article-title>
<source><![CDATA[Statistica Sinica]]></source>
<year>1996</year>
<volume>6</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>831-60</page-range></nlm-citation>
</ref>
<ref id="B38">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Psaradakis]]></surname>
<given-names><![CDATA[Z]]></given-names>
</name>
<name>
<surname><![CDATA[Sola]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Spagnolo]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On Markov error-correction models, with an application to stock prices and dividends]]></article-title>
<source><![CDATA[Journal of Applied Econometrics]]></source>
<year>2004</year>
<volume>19</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>69-88</page-range></nlm-citation>
</ref>
<ref id="B39">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sowell]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Maximum likelihood estimation of stationary univariate fractionally integrated time series models]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>1992</year>
<volume>53</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>165-88</page-range></nlm-citation>
</ref>
<ref id="B40">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Timmermann]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Moments of Markov switching models]]></article-title>
<source><![CDATA[Journal of Econometrics]]></source>
<year>2000</year>
<volume>96</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>75-111</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
