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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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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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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 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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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
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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
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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
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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