<?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>1870-6622</journal-id>
<journal-title><![CDATA[EconoQuantum]]></journal-title>
<abbrev-journal-title><![CDATA[EconoQuantum]]></abbrev-journal-title>
<issn>1870-6622</issn>
<publisher>
<publisher-name><![CDATA[Universidad de Guadalajara]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1870-66222019000100033</article-id>
<article-id pub-id-type="doi">10.18381/eq.v16i1.7160</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Estudio empírico sobre el tipo de cambio MXN/USD: movimiento browniano geométrico versus proceso varianza-gamma]]></article-title>
<article-title xml:lang="en"><![CDATA[Empirical study on the MXN / USD exchange rate: geometric Brownian motion versus gamma-variance process]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Mosiño]]></surname>
<given-names><![CDATA[Alejandro]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Salomón-Núñez]]></surname>
<given-names><![CDATA[Laura Andrea]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Moreno-Okuno]]></surname>
<given-names><![CDATA[Alejandro Tatsuo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de Guanajuato  ]]></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>16</volume>
<numero>1</numero>
<fpage>33</fpage>
<lpage>56</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1870-66222019000100033&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1870-66222019000100033&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1870-66222019000100033&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen En este artículo examinamos el comportamiento del mercado cambiario en México, el cual se caracteriza por movimientos extremos muy frecuentes ocasionados por la información generada dentro del mercado financiero y el entorno macroeconómico internacional. Modelamos estos movimientos extremos utilizando un proceso varianza gamma, el cual nos permite capturar el sesgo y el exceso de curtosis de los rendimientos del tipo de cambio. Concluimos que, en general, este proceso ajusta mejor a los datos que el movimiento browniano geométrico -basado en la densidad normal- y nos permite estimar con mayor precisión el Valor en Riesgo (VaR). Mostramos, además, que el ajuste mejora conforme aumenta la ventana temporal utilizada para calcular los rendimientos del mercado cambiario. Finalmente, realizamos un backtesting del VaR mediante la prueba de Kupiec.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract In this paper, we analize the behavior of the foreign exchange market in Mexico, which is characterized by frequent extreme movements caused by the information generated within the financial market, and by international macroeconomic conditions. We model this extreme movements by means of a variance-gamma process (PVG), which allows us to capture the bias and the excess of kurtosis of exchange rate returns. We conclude that, in general, the PVG adjust better the data than the geometric brownian motion (MBG) -which is based on a normal density- and allows us to estimate more precisely the Value at Risk (VaR). We also show that the fit improves with the time window used to compute the returns in the exchange market. Finally, we backtest the VaR fit by means of the Kupiec&#8217;s test.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Tipo de cambio]]></kwd>
<kwd lng="es"><![CDATA[movimiento browniano geométrico]]></kwd>
<kwd lng="es"><![CDATA[proceso varianza-gamma]]></kwd>
<kwd lng="es"><![CDATA[valor en riesgo]]></kwd>
<kwd lng="es"><![CDATA[prueba de Kupiec]]></kwd>
<kwd lng="es"><![CDATA[C12]]></kwd>
<kwd lng="es"><![CDATA[C13]]></kwd>
<kwd lng="es"><![CDATA[C15]]></kwd>
<kwd lng="es"><![CDATA[F31]]></kwd>
<kwd lng="en"><![CDATA[Exchange rate]]></kwd>
<kwd lng="en"><![CDATA[geometric brownian motion]]></kwd>
<kwd lng="en"><![CDATA[variance-gamma process]]></kwd>
<kwd lng="en"><![CDATA[value-at-risk]]></kwd>
<kwd lng="en"><![CDATA[Kupiec test]]></kwd>
<kwd lng="en"><![CDATA[C12]]></kwd>
<kwd lng="en"><![CDATA[C13]]></kwd>
<kwd lng="en"><![CDATA[C15]]></kwd>
<kwd lng="en"><![CDATA[F31]]></kwd>
</kwd-group>
</article-meta>
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