Similar Search Results

Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory

Rodriguez, Gabriel - 2016

Persistent link: https://www.econbiz.de/10011538608

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

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

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

Demanda de dinero y estacionalidad en el mercado monetario

Rodriguez, Gabriel - In: Economía : revista del Departamento de Economía, … 16 (1995) 32, pp. 141-157

Persistent link: https://www.econbiz.de/10001189299

Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - 2016

Persistent link: https://www.econbiz.de/10011538601

Data-dependent methods for the lag length selection in unit root tests with structural change

Quineche Uribe, Ricardo; Rodriguez, Gabriel - 2015

Persistent link: https://www.econbiz.de/10011415370

Explaining the determinants of the frequency of exchange rate interventions in Peru using count models

Ventura Neyra, Edgar; Rodriguez, Gabriel - In: Applied economics quarterly 61 (2015) 3, pp. 261-292

Persistent link: https://www.econbiz.de/10011471654

Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - In: Review of world economics 153 (2017) 1, pp. 71-103

Persistent link: https://www.econbiz.de/10011889303

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