<?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>0185-1667</journal-id>
<journal-title><![CDATA[Investigación económica]]></journal-title>
<abbrev-journal-title><![CDATA[Inv. Econ]]></abbrev-journal-title>
<issn>0185-1667</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Economía]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0185-16672005000300159</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Análisis de los tipos de cambio en la economía mexicana y comparación con otros países: un enfoque de volatilidad estocástica]]></article-title>
<article-title xml:lang="en"><![CDATA[Analysis of the Exchange Rate in the Mexican Economy and Comparison with Other Countries: An Approach of Estochastic Volatileness]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Arranz]]></surname>
<given-names><![CDATA[Matilde]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Iglesias]]></surname>
<given-names><![CDATA[Emma M.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de A Coruña  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Spain</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Michigan State University  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>USA</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>09</month>
<year>2005</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>09</month>
<year>2005</year>
</pub-date>
<volume>64</volume>
<numero>253</numero>
<fpage>159</fpage>
<lpage>169</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0185-16672005000300159&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0185-16672005000300159&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0185-16672005000300159&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Puesto que es comúnmente aceptado que la volatilidad de una serie temporal es una de sus principales caracteristicas en este artículo se analiza la evolución del tipo de cambio diario en México, Noruega, el Reino Unido, la República Sudafricana y Venezuela mediante un modelo de volatilidad estocástica. Al considerar el período comprendido del 01 de junio de 1998 al 30 de junio del 2000 se muestra cómo, para series que presentan un nivel similar de volatilidad de su tipo de cambio, ésta se comporta de manera menos errática en unos países (casos del Reino Unido, la República Sudafricana y México) que en otros (caso de Noruega). Por el contrario, en Venezuela, los tipos de cambio muestran muy poca volatilidad en su serie pero su evolución es mucho más inestable. El método de estimación aquí elegido ha sido el propuesto por Kim, Shephard y Chib (1998) a través del algoritmo Markov Chain Monte Carlo (MCMC). Este método tiene, en muestras pequeñas, mejores propiedades que otros métodos alternativos.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract Since volatility is known to be one of the main characteristics of a one series, this paper analyses the evolution of the daily spot exchange rate in Mexico, Norway, United Kingdom, South Africa and Venezuela using a stochastic volatility model. It is shown that, in the period from 01 /06/1998 to 30/06/2000, series that have similar volatility level of their exchange rate, this behaves less in some countries (United Kingdom, South Africa and Mexico) than in others (Norway). On the other hand, in Venezuela, exchanges rates show very low although its is much more unstable. The chosen estimation method has been proposed by Kim, Shephard and Chib (1998) using the Markov Chain Monte Carlo (MCMC) algorithm. This method has, in small samples, better properties than another alternative methods.]]></p></abstract>
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