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Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas

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  • Munir A. Jalil B.
  • Martha Misas A

Abstract

El presente trabajo compara especificaciones lineales y no lineales (expresadas en redes neuronales artificiales) ajustadas a la variación porcentual diaria del tipo de cambio utilizando para ello funciones de costo tradicionales (simétricas) a la vez que se introduce el análisis asimétrico. Los resultados muestran que las redes neuronales permiten obtener mejores pronósticos con ambos tipos de funciones de costos. Sin embargo, es de anotar que cuando se evalúan los pronósticos con funciones asimétricas, el modelo no lineal supera ampliamente a su contraparte lineal.

Suggested Citation

  • Munir A. Jalil B. & Martha Misas A, 2006. "Evaluación de pronósticos del tipo de cambio utilizando redes neuronales y funciones de perdida asimétricas," Borradores de Economia 376, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:376
    DOI: 10.32468/be.376
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    References listed on IDEAS

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    Cited by:

    1. Charle Augusto Llondono, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAVIAR para el mercado de valores colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 62-109, July.

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    More about this item

    Keywords

    Tipo de cambio; redes neuronales artificiales; evaluación de pronóstico.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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