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Some stylized facts of returns in the foreign exchange and stock markets in Peru

Humala A., Alberto; Rodriguez, Gabriel - 2010

Persistent link: https://www.econbiz.de/10008904429

Some stylized facts of returns in the foreign exchange and stock markets in Peru

Humala A., Alberto; Rodriguez, Gabriel - 2011

Persistent link: https://www.econbiz.de/10009428256

Some stylized facts of return in the foreign exchange and stock markets in Peru

Humala A., Alberto; Rodriguez, Gabriel - In: Studies in economics and finance 30 (2013) 2, pp. 139-158

Persistent link: https://www.econbiz.de/10009772976

Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

An empirical application of a random level shifts model with time-varying probability and mean reversion to the volatility of Latin-American Forex markets returns

Gonzáles Tanaka, José Carlos; Rodriguez, Gabriel - 2016

Persistent link: https://www.econbiz.de/10011538602

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643

Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation

Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385

Persistent link: https://www.econbiz.de/10011964842

An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components

Rodriguez, Gabriel; Ojeda Cunya, Junior Alex; Gonzáles … - In: Portuguese economic journal 18 (2019) 2, pp. 107-123

Persistent link: https://www.econbiz.de/10012111301

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007