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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shifts model
Rodriguez, Gabriel - 2015
Persistent link: https://www.econbiz.de/10011415396
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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model
Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10011588077
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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
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Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory
Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 42 (2017), pp. 393-420
Persistent link: https://www.econbiz.de/10011938140
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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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
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An application of a short memory model with random level shifts to the volatility of Latin American stock market returns
Rodriguez, Gabriel; Tramontana, Roxana - 2014
Persistent link: https://www.econbiz.de/10011413259
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Stochastic volatility in peruvian stock market and exchange rate returns : a bayesian approximation
Alanya, Willy; Rodriguez, Gabriel - 2014
Persistent link: https://www.econbiz.de/10011414218
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Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés; Rodriguez, Gabriel - 2014
Persistent link: https://www.econbiz.de/10011415135