Vol. 11 No. 22 (2016)

Artículos

Parametric characterization yields prices oil 2010-2015

Published 2016-01-04

  • Martha Beatriz Mota-Aragón
    • ,
  • Leovardo Mata-Mata

Martha Beatriz Mota-Aragón
Universidad Autónoma Metropolitana, Departamento de Economía

Leovardo Mata-Mata
Universidad Autónoma Metropolitana , Departamento de Economía

Abstract

In this paper yields oil prices Brent, West Texas Intermediate and Mexican export mix are characterized by the parameters of a no-normal probability distribution. The period 2010-2015 is reviewed in two time windows: low oil prices and high crude prices. It is found evidence of an appropriate adjustment of the generalized hyperbolic distribution for both subperiods. Therefore can analyze the behavior of yields through changes in the parameters  of the cumulative distribution.

Keywords

oil prices, generalized hyperbolic distribution, maximum likelihood, confidence Interval

PDF (Spanish)

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