<?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>2448-6655</journal-id>
<journal-title><![CDATA[Análisis económico]]></journal-title>
<abbrev-journal-title><![CDATA[Anál. econ.]]></abbrev-journal-title>
<issn>2448-6655</issn>
<publisher>
<publisher-name><![CDATA[Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Sociales y Humanidades]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2448-66552021000300081</article-id>
<article-id pub-id-type="doi">10.24275/uam/azc/dcsh/ae/2021v36n93/de-jesus</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Asimetría, Memoria Larga y Valores Extremos en la Administración del Riesgo de la Cola de los Precios del Petróleo Maya]]></article-title>
<article-title xml:lang="en"><![CDATA[Asymmetry, Long Memory and Extreme Values in the Tail Risk Management of the Maya Crude Oil Prices]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Gutiérrez]]></surname>
<given-names><![CDATA[Raúl de-Jesús]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[García Salgado]]></surname>
<given-names><![CDATA[Oswaldo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rodríguez Pichardo]]></surname>
<given-names><![CDATA[Oscar Manuel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma del Estado de México Facultad de Economía ]]></institution>
<addr-line><![CDATA[Toluca Estado de México]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma del Estado de México Facultad de Economía ]]></institution>
<addr-line><![CDATA[Toluca Estado de México]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,Universidad Autónoma del Estado de México Facultad de Economía ]]></institution>
<addr-line><![CDATA[Toluca ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<volume>36</volume>
<numero>93</numero>
<fpage>81</fpage>
<lpage>98</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S2448-66552021000300081&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S2448-66552021000300081&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S2448-66552021000300081&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este trabajo tiene como objetivo combinar la teoría de valores extremos y los modelos CGARCH a fin de capturar los efectos de la asimetría de largo plazo y la memoria larga en la volatilidad y mejorar la estimación del riesgo de la cola para el petróleo Maya. Los resultados del backtesting confirman el poder predictivo de las aproximaciones TVE-CGARCH simétricas y asimétricas en la estimación del VaR dinámico a pesar de que las medidas de riesgo de la familia de modelos TVE-GARCH presentan también un excelente desempeño fuera de la muestra. Los hallazgos tienen importantes implicaciones para los participantes en el mercado del petróleo, puesto que les permiten mejorar la administración del riesgo y diseñar estrategias de cobertura óptimas para reducir la exposición al riesgo de precios de los productores y consumidores.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper aims to combine the extreme value theory and CGARCH models to capture the long-term asymmetry effects and long memory in volatility and to improve the estimation of tail risk for Maya crude oil. The results of the backtesting confirm the forecasting ability of the symmetric and asymmetric CGARCH-EVT approaches for the estimation of dynamic VaR even though risk measures based on the GARCH-EVT family approaches provide also a better out of sample performance. The findings have important implications for crude oil market participants as they allow them to improve risk management and design optimal hedging strategies to reduce exposure to price risk of producers and consumers.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Petróleo]]></kwd>
<kwd lng="es"><![CDATA[Teoría de valores extremos condicional]]></kwd>
<kwd lng="es"><![CDATA[Medidas VaR]]></kwd>
<kwd lng="es"><![CDATA[C22]]></kwd>
<kwd lng="es"><![CDATA[C52]]></kwd>
<kwd lng="es"><![CDATA[G13]]></kwd>
<kwd lng="es"><![CDATA[Q40]]></kwd>
<kwd lng="en"><![CDATA[Crude oil]]></kwd>
<kwd lng="en"><![CDATA[Conditional extreme value theory]]></kwd>
<kwd lng="en"><![CDATA[VaR models]]></kwd>
<kwd lng="en"><![CDATA[C22]]></kwd>
<kwd lng="en"><![CDATA[C52]]></kwd>
<kwd lng="en"><![CDATA[G13]]></kwd>
<kwd lng="en"><![CDATA[Q40]]></kwd>
</kwd-group>
</article-meta>
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