Search Results - person:"Rodrigo, A."

Environmental, energy, and sustainability issues

Bicalho, Tereza; Bellezoni, Rodrigo A.; Puppim de … - In: Innovation, competitiveness, and development in Latin …, (pp. 213-236). 2024

Persistent link: https://www.econbiz.de/10015069344

Estimates of the US shadow-rate

Alfaro, Rodrigo; Piña, Marco - In: Latin American journal of central banking : LAJCB 4 (2023) 1, pp. 1-17

This article provides several estimates for the shadow rate (SR) of the short-term interest rate in US. We assume maximal models with two and three Gaussian factors, and we use forward rates to estimate the model's parameters. Based on that, we conclude that point estimates of SR should be taken...

Persistent link: https://www.econbiz.de/10014382809

Modeling S&P500 returns with GARCH models

Alfaro, Rodrigo; Inzunza, Alejandra - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-11

This paper provides several estimates of the GARCH models' parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an...

Persistent link: https://www.econbiz.de/10014382969