Julio Sarmiento's research while affiliated with Pontificia Universidad Javeriana and other places

Publications (3)

Article
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This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in the present study, the definition of returns is simply the “rate of change” of observed prices for different periods). Of particular interest is the impact of coskewness and cokurtosis when modeling Colombian electricity price returns...
Article
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In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio...
Article
Full-text available
In this paper we explore the difference of quality in higher education between accredited and non-accredited higher education institutions (HEIs) in Colombia. For that purpose we test if the difference of the National Exam of Student Performance (Saber Pro), which is our proxy for quality between institutional accredited and non-accredited institut...

Citations

... This statement is also supported by the heatmap in Figure 10, where a very different behavior of this indicator is observed, compared to the others. Kurtosis end skewness have been used as indicators in the analysis of electricity markets [21][22][23]. However, their descriptive power of load profile features remains as a research topic. ...
... Several kinds of research on consumer reactions to pandemics have been carried out (Donthu and Gustafsson, 2020). Fallon and Sarmiento (2021) explored the relationship between pandemic cases and stock market trends. Machmuddah et al. (2020) predicted a 50% security value drop during the pandemic, but a fast recovery thereafter once the short-term shock of labor supply in the market eased. ...
... Across the globe with the development of technologies and focus on economic development, there has been shift in focus of government and the countries towards improving the quality of education. Education has become an essential component of national policies for enabling economic growth and high skilled workforce [10]. In today's digital economy, intellectual space-based models are formulated for enabling innovative modernization representation in the knowledge representation. ...