@inproceedings{05f42062d9594402a02a2b381ff627ec,
title = "Relaci{\'o}n entre t{\'i}tulos que conforman la curva de rendimientos del mercado de deuda p{\'u}blica colombiano",
abstract = "Based on the information of the yield curve (CR) of Colombia, it is sought to find the existing relationships between the titles that compose it; specifically sets of two or three assets; and with this analyze whether or not there are cointegration or equilibrium relations in the long term. Taking this into account, it was found that there are cointegration relations between October 18 and July 20 for the case of peer analysis and for the case of analysis of trios, a strong relationship was found between October 2018, November 2018 and July 2020. These results are obtained optimally using a Python algorithm that looks for all possible relationships between the considered assets. This algorithm is part of the contribution of this work, and also the finding and the evidence that there are cointegrated assets in the yield curve of Colombia. With this, medium-term debt portfolio investment strategies can be designed.",
keywords = "Econometric Models, Fixed Income, Local TES Market, Yield Curve",
author = "Juan Cantillo and M{\'o}nica Arango and Julie Gonzalez and Manuela Jaramillo",
note = "Publisher Copyright: {\textcopyright} 2019 AISTI.; 14th Iberian Conference on Information Systems and Technologies, CISTI 2019 ; Conference date: 19-06-2019 Through 22-06-2019",
year = "2019",
month = jun,
day = "1",
doi = "10.23919/CISTI.2019.8760982",
language = "Espa{\~n}ol",
series = "Iberian Conference on Information Systems and Technologies, CISTI",
publisher = "IEEE Computer Society",
editor = "Ramiro Goncalves and Isabel Pedrosa and Cota, {Manuel Perez} and Alvaro Rocha",
booktitle = "Proceedings of CISTI 2019 - 14th Iberian Conference on Information Systems and Technologies",
address = "Estados Unidos",
}