<?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>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422019000300005</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2018.1476</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Valuing a natural gas pipeline expansion project: A copula-TGARCH application in Mexico]]></article-title>
<article-title xml:lang="es"><![CDATA[Valorando un proyecto de expansión de ductos de gas natural: Una aplicación copula-TGARCH en México]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Massa Roldán]]></surname>
<given-names><![CDATA[Ricardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Reyna Miranda]]></surname>
<given-names><![CDATA[Montserrat]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Centro de Investigación y Docencia Económicas  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Tecnológico de Monterrey  ]]></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>64</volume>
<numero>2</numero>
<fpage>0</fpage>
<lpage>0</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422019000300005&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422019000300005&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422019000300005&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract With the liberalization of energy prices and the opening of the energy sector to competitors in Mexico, an opportunity for new investment projects is now open. Due to the current conditions of international energy markets, such as volatility and low prices with no prospect of reversion, a need for valuation tools to better capture the risk and benefits of a project presents itself. We propose a methodology based on the volatility treatment of numerous underlying assets in a Real Options Analysis: using a TGARCH for the individual volatilities and copulas for the joint effect. The methodology is applied to a natural gas distribution project of Mexico&#8217;s State oil company Petróleos Mexicanos (PEMEX). An estimated net present value of the gas pipeline is provided, considering the real options perspective. The result of our empirical application validates the real option&#8217;s theory of a higher net present value estimation for the project when incorporating the effect of different sources of uncertainty and non-linear interdependence.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Con la liberalización de precios y la apertura del sector energético a la competencia en México, se presenta una nueva oportunidad para un mayor conjunto de proyectos de inversión. Debido a las condiciones de los mercados internacionales de energéticos, como volatilidad y precios bajos persistentes, se vuelven necesarias herramientas de evaluación que identifiquen mejor los riesgos y beneficios de un proyecto de inversión. En el presente trabajo, proponemos una metodología de valuación basada en análisis de Opciones Reales con múltiples activos subyacentes, usando un modelo TGARCH para modelar la varianza de los activos individuales y cópulas para el efecto conjunto. La metodología es aplicada a un proyecto de inversión en un gasoducto de Petróleos Mexicanos (PEMEX), la empresa petrolera estatal de México. Se proporciona un valor actual neto estimado del gasoducto considerando la perspectiva de las opciones reales. El resultado de la aplicación empírica valida la teoría de opciones reales que establece que el incorporar el efecto de diferentes fuentes de incertidumbre dentro de la valuación resulta en un mayor valor presente neto.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[C14]]></kwd>
<kwd lng="en"><![CDATA[C58]]></kwd>
<kwd lng="en"><![CDATA[C22]]></kwd>
<kwd lng="en"><![CDATA[G32]]></kwd>
<kwd lng="en"><![CDATA[H54]]></kwd>
<kwd lng="en"><![CDATA[Copula]]></kwd>
<kwd lng="en"><![CDATA[Heteroskedasticity]]></kwd>
<kwd lng="en"><![CDATA[TGARCH]]></kwd>
<kwd lng="en"><![CDATA[Natural Gas]]></kwd>
<kwd lng="en"><![CDATA[Expansion Real Option]]></kwd>
<kwd lng="es"><![CDATA[C14]]></kwd>
<kwd lng="es"><![CDATA[C58]]></kwd>
<kwd lng="es"><![CDATA[C22]]></kwd>
<kwd lng="es"><![CDATA[G32]]></kwd>
<kwd lng="es"><![CDATA[H54]]></kwd>
<kwd lng="es"><![CDATA[Cópula]]></kwd>
<kwd lng="es"><![CDATA[Heteroscedasticidad]]></kwd>
<kwd lng="es"><![CDATA[TGARCH]]></kwd>
<kwd lng="es"><![CDATA[Gas Natural]]></kwd>
<kwd lng="es"><![CDATA[Opción Real de Expansión]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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